ALPS|CoreCommodity Management
CompleteCommodities® Strategy Fund
CONSOLIDATED STATEMENT OF INVESTMENTS
July 31, 2021 (Unaudited)
Shares | Value (Note 2) | |||||||
COMMON STOCKS (29.42%) | ||||||||
Argentina (0.03%) | ||||||||
YPF SA, Sponsored ADR(a) | 73,592 | $ | 320,861 | |||||
Australia (1.31%) | ||||||||
Beach Energy, Ltd. | 841,983 | 741,465 | ||||||
BHP Group, Ltd. | 28,065 | 1,101,650 | ||||||
BlueScope Steel, Ltd. | 10,426 | 185,080 | ||||||
Costa Group Holdings, Ltd. | 104,343 | 245,030 | ||||||
Fortescue Metals Group, Ltd. | 57,824 | 1,057,032 | ||||||
Galaxy Resources, Ltd.(a) | 263,140 | 899,868 | ||||||
GrainCorp, Ltd., Class A | 85,256 | 327,215 | ||||||
IGO, Ltd. | 132,309 | 903,952 | ||||||
Iluka Resources, Ltd. | 124,315 | 905,897 | ||||||
Incitec Pivot, Ltd. | 504,330 | 991,872 | ||||||
Mineral Resources, Ltd. | 12,584 | 581,881 | ||||||
Newcrest Mining, Ltd. | 63,097 | 1,226,582 | ||||||
Northern Star Resources, Ltd. | 117,513 | 881,339 | ||||||
Nufarm, Ltd.(a) | 147,504 | 466,538 | ||||||
Oil Search, Ltd. | 73,894 | 206,605 | ||||||
Sandfire Resources NL | 78,872 | 400,530 | ||||||
Santos, Ltd. | 163,542 | 774,097 | ||||||
South32, Ltd. | 823,504 | 1,794,850 | ||||||
St Barbara, Ltd. | 162,515 | 211,093 | ||||||
Woodside Petroleum, Ltd. | 18,740 | 301,313 | ||||||
14,203,889 | ||||||||
Austria (0.11%) | ||||||||
OMV AG | 6,908 | 373,020 | ||||||
voestalpine AG | 18,655 | 822,777 | ||||||
1,195,797 | ||||||||
Brazil (0.74%) | ||||||||
BRF SA, ADR(a) | 193,584 | 944,690 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 126,298 | 857,563 | ||||||
Gerdau SA, Sponsored ADR | 155,631 | 922,892 | ||||||
Petroleo Brasileiro SA, Sponsored ADR | 270,198 | 2,883,013 | ||||||
Vale SA, Sponsored ADR | 117,117 | 2,461,799 | ||||||
8,069,957 | ||||||||
Canada (5.05%) | ||||||||
Agnico Eagle Mines, Ltd. | 19,374 | 1,253,110 | ||||||
Alamos Gold, Inc., Class A | 218,074 | 1,770,761 | ||||||
ARC Resources, Ltd. | 398,100 | 3,012,234 | ||||||
B2Gold Corp. | 655,682 | 2,747,308 | ||||||
Ballard Power Systems, Inc.(a) | 76,234 | 1,232,704 | ||||||
Barrick Gold Corp. | 49,181 | 1,070,670 | ||||||
Cameco Corp. | 63,522 | 1,130,692 | ||||||
Canadian Natural Resources, Ltd. | 77,315 | 2,552,941 | ||||||
Canadian Solar, Inc.(a) | 42,639 | 1,716,220 | ||||||
Canfor Corp.(a) | 22,200 | 428,661 | ||||||
Centerra Gold, Inc. | 133,600 | 1,074,069 | ||||||
Crescent Point Energy Corp. | 168,500 | 615,870 |
Shares | Value (Note 2) | |||||||
Canada (continued) | ||||||||
Eldorado Gold Corp.(a) | 135,739 | $ | 1,266,445 | |||||
First Majestic Silver Corp. | 34,329 | 470,651 | ||||||
First Quantum Minerals, Ltd. | 11,500 | 246,297 | ||||||
Fortuna Silver Mines, Inc.(a) | 575,960 | 2,735,810 | ||||||
Hudbay Minerals, Inc. | 180,500 | 1,289,079 | ||||||
IAMGOLD Corp.(a) | 84,106 | 230,450 | ||||||
Interfor Corp. | 59,000 | 1,210,172 | ||||||
Ivanhoe Mines, Ltd., Class A(a) | 125,500 | 931,492 | ||||||
Kinross Gold Corp. | 420,610 | 2,759,202 | ||||||
Kirkland Lake Gold, Ltd. | 57,500 | 2,458,821 | ||||||
Maple Leaf Foods, Inc. | 22,700 | 449,597 | ||||||
MEG Energy Corp.(a) | 93,400 | 595,915 | ||||||
Northland Power, Inc. | 6,300 | 221,076 | ||||||
Nutrien, Ltd. | 77,400 | 4,602,061 | ||||||
Pan American Silver Corp. | 115,069 | 3,229,986 | ||||||
Parex Resources, Inc. | 85,000 | 1,396,682 | ||||||
PrairieSky Royalty, Ltd. | 16,800 | 188,253 | ||||||
Pretium Resources, Inc.(a) | 49,531 | 462,124 | ||||||
SSR Mining, Inc. | 34,757 | 565,459 | ||||||
Suncor Energy, Inc. | 82,300 | 1,620,141 | ||||||
Teck Resources, Ltd., Class B | 78,951 | 1,803,241 | ||||||
Torex Gold Resources, Inc.(a) | 21,700 | 244,029 | ||||||
Tourmaline Oil Corp. | 83,600 | 2,282,315 | ||||||
Village Farms International, Inc.(a) | 148,148 | 1,429,628 | ||||||
Wheaton Precious Metals Corp. | 34,638 | 1,598,544 | ||||||
Yamana Gold, Inc. | 407,042 | 1,827,619 | ||||||
54,720,329 | ||||||||
Chile (0.59%) | ||||||||
Antofagasta PLC | 53,247 | 1,106,136 | ||||||
Sociedad Quimica y Minera de Chile SA, Sponsored ADR | 112,319 | 5,335,153 | ||||||
6,441,289 | ||||||||
China (0.19%) | ||||||||
China Petroleum & Chemical Corp., ADR | 5,780 | 264,262 | ||||||
Daqo New Energy Corp., ADR(a) | 2,495 | 147,829 | ||||||
JinkoSolar Holding Co., Ltd., ADR(a) | 23,496 | 1,266,198 | ||||||
PetroChina Co., Ltd., ADR | 8,809 | 368,569 | ||||||
2,046,858 | ||||||||
Colombia (0.07%) | ||||||||
Ecopetrol SA, Sponsored ADR | 56,879 | 768,435 | ||||||
Denmark (0.44%) | ||||||||
FLSmidth & Co. A/S | 9,925 | 367,657 | ||||||
Orsted AS(b)(c) | 6,179 | 917,736 | ||||||
Vestas Wind Systems A/S | 94,425 | 3,481,272 | ||||||
4,766,665 | ||||||||
Faroe Islands (0.05%) | ||||||||
Bakkafrost P/F | 6,869 | 583,434 | ||||||
Finland (0.24%) | ||||||||
Metso Outotec Oyj | 121,017 | 1,374,700 |
Shares | Value (Note 2) | |||||||
Finland (continued) | ||||||||
Outokumpu Oyj(a) | 166,365 | $ | 1,185,291 | |||||
2,559,991 | ||||||||
France (0.26%) | ||||||||
Constellium SE(a) | 34,942 | 659,356 | ||||||
TotalEnergies SE, ADR | 50,312 | 2,195,112 | ||||||
2,854,468 | ||||||||
Germany (0.44%) | ||||||||
Bayer AG | 38,150 | 2,275,903 | ||||||
K+S AG(a) | 70,154 | 1,006,551 | ||||||
Nordex SE(a) | 10,156 | 195,412 | ||||||
Salzgitter AG(a) | 10,429 | 405,536 | ||||||
thyssenkrupp AG(a) | 17,747 | 177,009 | ||||||
Varta AG | 3,960 | 686,079 | ||||||
4,746,490 | ||||||||
Great Britain (2.11%) | ||||||||
Anglo American PLC | 24,783 | 1,099,082 | ||||||
Atlantica Sustainable Infrastructure PLC | 43,991 | 1,749,082 | ||||||
BP PLC, Sponsored ADR | 124,106 | 3,000,883 | ||||||
CNH Industrial N.V. | 81,081 | 1,365,404 | ||||||
Endeavour Mining PLC | 53,458 | 1,273,034 | ||||||
Evraz PLC | 91,946 | 784,983 | ||||||
Pennon Group PLC | 41,249 | 732,754 | ||||||
Pentair PLC | 86,254 | 6,354,333 | ||||||
Rio Tinto PLC, Sponsored ADR | 31,219 | 2,694,512 | ||||||
Severn Trent PLC | 36,254 | 1,411,014 | ||||||
Subsea 7 SA | 50,511 | 405,357 | ||||||
TechnipFMC PLC(a) | 74,155 | 535,399 | ||||||
United Utilities Group PLC | 99,030 | 1,477,012 | ||||||
22,882,849 | ||||||||
India (0.04%) | ||||||||
Vedanta, Ltd., ADR | 27,652 | 443,262 | ||||||
Israel (0.16%) | ||||||||
SolarEdge Technologies, Inc.(a) | 6,820 | 1,769,654 | ||||||
Italy (0.07%) | ||||||||
Eni SpA, Sponsored ADR | 18,989 | 446,242 | ||||||
ERG SpA | 10,237 | 320,107 | ||||||
766,349 | ||||||||
Japan (1.94%) | ||||||||
AGC, Inc. | 63,200 | 2,687,463 | ||||||
Daido Steel Co., Ltd. | 6,200 | 290,488 | ||||||
Ezaki Glico Co., Ltd. | 4,600 | 171,496 | ||||||
GS Yuasa Corp. | 21,600 | 550,312 | ||||||
Hitachi Metals, Ltd.(a) | 34,000 | 662,923 | ||||||
Inpex Corp. | 661,133 | 4,670,509 | ||||||
JFE Holdings, Inc. | 35,900 | 433,922 | ||||||
Kobe Steel, Ltd. | 77,200 | 512,298 | ||||||
Kubota Corp. | 114,300 | 2,372,893 | ||||||
Kurita Water Industries, Ltd. | 25,716 | 1,242,375 | ||||||
Maruichi Steel Tube, Ltd. | 5,300 | 127,300 | ||||||
Morinaga Milk Industry Co., Ltd. | 6,500 | 363,794 |
Shares | Value (Note 2) | |||||||
Japan (continued) | ||||||||
NGK Insulators, Ltd. | 34,800 | $ | 552,587 | |||||
Nippon Light Metal Holdings Co., Ltd. | 23,800 | 416,101 | ||||||
Nippon Steel Corp. | 102,590 | 1,769,293 | ||||||
RENOVA, Inc.(a) | 24,800 | 1,114,480 | ||||||
Sumitomo Forestry Co., Ltd. | 28,759 | 542,123 | ||||||
Sumitomo Metal Mining Co., Ltd. | 51,300 | 2,065,935 | ||||||
Tokyo Steel Manufacturing Co., Ltd. | 50,500 | 503,596 | ||||||
21,049,888 | ||||||||
Luxembourg (0.32%) | ||||||||
APERAM SA | 14,100 | 883,142 | ||||||
ArcelorMittal | 24,464 | 862,111 | ||||||
ArcelorMittal SA | 5,056 | 176,182 | ||||||
Tenaris SA, ADR | 27,417 | 560,403 | ||||||
Ternium SA, Sponsored ADR | 19,564 | 951,594 | ||||||
3,433,432 | ||||||||
Malaysia (0.03%) | ||||||||
Lynas Rare Earths, Ltd.(a) | 55,139 | 297,003 | ||||||
Mexico (0.19%) | ||||||||
Grupo Mexico SAB de CV, Series B | 445,700 | 2,041,516 | ||||||
Netherlands (0.50%) | ||||||||
AMG Advanced Metallurgical Group NV | 4,959 | 154,831 | ||||||
Core Laboratories N.V. | 48,394 | 1,614,424 | ||||||
OCI N.V.(a) | 15,679 | 380,169 | ||||||
Royal Dutch Shell PLC, Class A, Sponsored ADR | 68,113 | 2,766,750 | ||||||
Royal Dutch Shell PLC, Class B | 2,551 | 50,345 | ||||||
SBM Offshore N.V. | 27,872 | 404,529 | ||||||
5,371,048 | ||||||||
Norway (1.26%) | ||||||||
Aker BP ASA | 75,504 | 2,039,990 | ||||||
DNO ASA(a) | 516,958 | 490,934 | ||||||
Equinor ASA | 130,031 | 2,537,994 | ||||||
Leroy Seafood Group ASA | 70,514 | 643,144 | ||||||
Mowi ASA | 80,496 | 2,051,863 | ||||||
NEL ASA(a) | 476,921 | 911,493 | ||||||
Salmar ASA | 12,666 | 840,410 | ||||||
Scatec ASA(b)(c) | 7,665 | 164,800 | ||||||
TGS ASA | 50,202 | 575,336 | ||||||
Yara International ASA | 64,676 | 3,406,293 | ||||||
13,662,257 | ||||||||
Peru (0.06%) | ||||||||
Cia de Minas Buenaventura SAA, ADR(a) | 24,873 | 205,451 | ||||||
Southern Copper Corp. | 6,686 | 438,869 | ||||||
644,320 | ||||||||
South Africa (0.79%) | ||||||||
African Rainbow Minerals, Ltd. | 36,752 | 749,878 | ||||||
Anglo Platinum, Ltd. | 4,780 | 625,562 | ||||||
AngloGold Ashanti, Ltd., Sponsored ADR | 68,785 | 1,379,139 |
Shares | Value (Note 2) | |||||||
South Africa (continued) | ||||||||
Gold Fields, Ltd., Sponsored ADR | 294,242 | $ | 2,889,455 | |||||
Impala Platinum Holdings, Ltd. | 54,000 | 973,060 | ||||||
Kumba Iron Ore, Ltd. | 15,133 | 803,613 | ||||||
Sasol, Ltd.(a) | 77,701 | 1,162,393 | ||||||
8,583,100 | ||||||||
Spain (0.39%) | ||||||||
Acerinox SA | 44,206 | 590,207 | ||||||
Fluidra SA | 22,858 | 925,990 | ||||||
Iberdrola SA | 122,968 | 1,482,053 | ||||||
Repsol SA | 21,441 | 234,531 | ||||||
Siemens Gamesa Renewable Energy SA | 24,558 | 684,602 | ||||||
Solaria Energia y Medio Ambiente SA(a) | 18,123 | 349,673 | ||||||
4,267,056 | ||||||||
Sweden (1.43%) | ||||||||
AAK AB | 17,147 | 408,935 | ||||||
Boliden AB | 113,978 | 4,442,129 | ||||||
Epiroc AB, Class A | 59,249 | 1,383,422 | ||||||
Holmen AB, B Shares | 8,330 | 438,156 | ||||||
Lundin Energy AB | 124,444 | 3,880,021 | ||||||
SSAB AB, A Shares(a) | 190,388 | 1,087,249 | ||||||
Svenska Cellulosa AB SCA, Class B | 209,038 | 3,885,284 | ||||||
15,525,196 | ||||||||
Switzerland (0.04%) | ||||||||
Bucher Industries AG | 799 | 444,550 | ||||||
United States (10.57%) | ||||||||
AGCO Corp. | 23,320 | 3,080,805 | ||||||
Allegheny Technologies, Inc.(a) | 34,615 | 710,646 | ||||||
American Water Works Co., Inc. | 10,923 | 1,858,112 | ||||||
APA Corp. | 46,650 | 874,688 | ||||||
Archer-Daniels-Midland Co. | 24,736 | 1,477,234 | ||||||
Arconic, Inc.(a) | 11,241 | 404,002 | ||||||
Array Technologies, Inc.(a) | 28,924 | 391,631 | ||||||
Baker Hughes Co. | 54,605 | 1,159,810 | ||||||
Beyond Meat, Inc.(a) | 14,450 | 1,773,015 | ||||||
Bunge, Ltd. | 35,629 | 2,765,879 | ||||||
Cabot Oil & Gas Corp. | 61,433 | 982,928 | ||||||
California Water Service Group | 8,661 | 542,871 | ||||||
Cal-Maine Foods, Inc. | 14,471 | 504,893 | ||||||
Century Aluminum Co.(a) | 19,099 | 278,081 | ||||||
CF Industries Holdings, Inc. | 128,383 | 6,066,098 | ||||||
ChampionX Corp.(a) | 42,298 | 983,006 | ||||||
Chemours Co. | 33,674 | 1,119,661 | ||||||
Chevron Corp. | 3,272 | 333,122 | ||||||
Cleveland-Cliffs, Inc.(a) | 14,247 | 356,175 | ||||||
CNX Resources Corp.(a) | 64,935 | 785,714 | ||||||
Commercial Metals Co. | 23,930 | 784,904 | ||||||
Compass Minerals International, Inc. | 7,430 | 509,401 | ||||||
ConocoPhillips | 55,244 | 3,096,979 | ||||||
Continental Resources, Inc. | 56,815 | 1,940,232 | ||||||
Corteva, Inc. | 62,955 | 2,693,215 | ||||||
Darling Ingredients, Inc.(a) | 58,005 | 4,006,405 | ||||||
Deere & Co. | 4,669 | 1,688,264 | ||||||
Devon Energy Corp. | 43,208 | 1,116,495 |
Shares | Value (Note 2) | |||||||
United States (continued) | ||||||||
Enphase Energy, Inc.(a) | 10,981 | $ | 2,081,998 | |||||
EOG Resources, Inc. | 35,515 | 2,587,623 | ||||||
Essential Utilities, Inc. | 25,937 | 1,274,025 | ||||||
Evoqua Water Technologies Corp.(a) | 126,349 | 4,170,780 | ||||||
Exxon Mobil Corp. | 22,980 | 1,322,959 | ||||||
First Solar, Inc.(a) | 7,288 | 627,060 | ||||||
FMC Corp. | 25,041 | 2,678,135 | ||||||
Freeport-McMoRan, Inc. | 29,192 | 1,112,215 | ||||||
Green Plains, Inc.(a) | 18,901 | 668,339 | ||||||
Halliburton Co. | 82,737 | 1,711,001 | ||||||
Hecla Mining Co. | 173,040 | 1,157,638 | ||||||
Helmerich & Payne, Inc. | 36,124 | 1,035,675 | ||||||
Hess Corp. | 15,736 | 1,202,860 | ||||||
HollyFrontier Corp. | 22,080 | 649,152 | ||||||
Hormel Foods Corp. | 70,853 | 3,286,162 | ||||||
Ingredion, Inc. | 24,933 | 2,189,367 | ||||||
Kinder Morgan, Inc. | 5,763 | 100,161 | ||||||
Livent Corp.(a) | 15,580 | 303,966 | ||||||
Magnolia Oil & Gas Corp., Class A(a) | 91,528 | 1,281,392 | ||||||
Marathon Oil Corp. | 157,414 | 1,824,428 | ||||||
Marathon Petroleum Corp. | 24,420 | 1,348,472 | ||||||
Mosaic Co. | 80,002 | 2,498,462 | ||||||
Murphy Oil Corp. | 65,937 | 1,431,492 | ||||||
National Oilwell Varco, Inc.(a) | 84,671 | 1,169,307 | ||||||
New WEI, Inc.(a) | 68,768 | 103 | ||||||
Newmont Corp. | 18,892 | 1,186,795 | ||||||
Occidental Petroleum Corp. | 109,409 | 2,855,576 | ||||||
Ormat Technologies, Inc. | 30,656 | 2,137,949 | ||||||
Ovintiv, Inc. | 57,283 | 1,469,882 | ||||||
Patterson-UTI Energy, Inc. | 187,413 | 1,503,052 | ||||||
PDC Energy, Inc. | 67,573 | 2,672,512 | ||||||
Phillips 66 | 8,398 | 616,665 | ||||||
Pilgrim's Pride Corp.(a) | 45,023 | 997,259 | ||||||
Pioneer Natural Resources Co. | 12,603 | 1,832,098 | ||||||
PotlatchDeltic Corp., REIT | 45,043 | 2,339,533 | ||||||
ProPetro Holding Corp.(a) | 114,066 | 861,198 | ||||||
Rayonier, Inc., REIT | 22,544 | 850,134 | ||||||
Reliance Steel & Aluminum Co. | 4,037 | 634,415 | ||||||
Renewable Energy Group, Inc.(a) | 11,747 | 719,504 | ||||||
Royal Gold, Inc. | 8,866 | 1,077,396 | ||||||
RPC, Inc.(a) | 140,085 | 588,357 | ||||||
Sanderson Farms, Inc. | 23,498 | 4,390,366 | ||||||
Schlumberger NV | 29,651 | 854,838 | ||||||
SunPower Corp.(a) | 41,418 | 1,025,924 | ||||||
Transocean, Ltd.(a) | 117,767 | 425,139 | ||||||
Tyson Foods, Inc., Class A | 57,499 | 4,108,879 | ||||||
Valero Energy Corp. | 15,840 | 1,060,805 | ||||||
Warrior Met Coal, Inc. | 10,153 | 189,557 | ||||||
Williams Cos., Inc. | 1,855 | 46,468 | ||||||
114,441,339 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $279,482,198) | 318,901,282 | |||||||
MASTER LIMITED PARTNERSHIPS (0.04%) | ||||||||
United States (0.04%) | ||||||||
Energy Transfer LP | 4,974 | 49,044 | ||||||
Enterprise Products Partners LP | 10,676 | 240,957 |
Shares | Value (Note 2) | |||||||
United States (continued) | ||||||||
Magellan Midstream Partners LP | 2,054 | $ | 95,716 | |||||
MPLX LP | 1,555 | 44,131 | ||||||
Plains All American Pipeline LP | 3,090 | 30,931 | ||||||
460,779 | ||||||||
TOTAL MASTER LIMITED PARTNERSHIPS | ||||||||
(Cost $900,221) | 460,779 |
Principal Amount | Value (Note 2) | |||||||
GOVERNMENT BONDS (52.19%) | ||||||||
U.S. Treasury Bonds (52.19%) | ||||||||
United States Treasury Bill | ||||||||
0.040%, 11/4/21 | $ | 180,000,000 | $ | 179,978,850 | ||||
United States Treasury Inflation Indexed Bonds | ||||||||
0.125%, 1/15/22(d) | 217,419,621 | 221,735,744 | ||||||
0.625%, 4/15/23 | 110,513,940 | 116,946,878 | ||||||
United States Treasury Notes | ||||||||
1.750%, 2/28/22(d) | 19,500,000 | 19,690,238 | ||||||
1.875%, 5/31/22 | 27,000,000 | 27,401,912 | ||||||
565,753,622 | ||||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $562,421,706) | 565,753,622 |
Value (Note 2) | ||||||||
TOTAL INVESTMENTS (81.65%) | ||||||||
(Cost $842,804,125) | $ | 885,115,683 | ||||||
Other Assets In Excess Of Liabilities (18.35%) | 198,976,519 | |||||||
NET ASSETS - 100.00% | $ | 1,084,092,202 |
(a) | Non-Income Producing Security. |
(b) | Security exempt from registration under rule 144A of the securities act of 1933. This Security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of July 31, 2021, the market value of those securities was $1,082,536 representing 0.10% of the Fund's net assets. |
(c) | Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines approved by the Fund's Board of Trustees. As of July 31, 2021 the aggregate market value of those securities was $1,082,536 representing 0.10% of net assets. |
(d) | Security, or portion of security, is being held as collateral for total return swap contracts and futures contracts aggregating a total market value of $57,409,080. |
For Fund compliance purposes, the Fund's industry and geographical classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine sub-classifications for reporting ease. Industries and regions are shown as a percent of net assets.
FUTURES CONTRACTS
Description | Counterparty | Position | Contracts | Expiration Date | Notional Amount/Fair Value (Note 2) | Unrealized Appreciation | ||||||||||
Brent Crude Future | Morgan Stanley | Long | 505 | 08/31/21 | $ | 38,082,050 | $ | 3,034,200 | ||||||||
Gasoline Robusta Future | Morgan Stanley | Long | 23 | 08/31/21 | 2,255,320 | 185,664 | ||||||||||
Gold Future | Morgan Stanley | Long | 52 | 10/27/21 | 9,435,400 | 32,132 | ||||||||||
Gold Future | Morgan Stanley | Long | 130 | 12/29/21 | 23,623,600 | 125,832 | ||||||||||
Hard Red Winter Wheat Future | Morgan Stanley | Long | 64 | 09/14/21 | 2,154,400 | 251,842 | ||||||||||
LME Aluminum Future | Morgan Stanley | Long | 125 | 09/13/21 | 8,109,375 | 533,199 | ||||||||||
LME Copper Future | Morgan Stanley | Long | 300 | 08/16/21 | 72,815,625 | 2,910,552 | ||||||||||
LME Nickel Future | Morgan Stanley | Long | 126 | 08/16/21 | 14,780,556 | 741,238 | ||||||||||
LME Zinc Future | Morgan Stanley | Long | 267 | 08/16/21 | 20,235,263 | 751,296 | ||||||||||
Low Sulfur Gasoil Future | Morgan Stanley | Long | 332 | 08/12/21 | 20,359,900 | 719,614 | ||||||||||
National Gas Future | Morgan Stanley | Long | 834 | 08/27/21 | 32,642,760 | 1,658,124 | ||||||||||
Soybean Future | Morgan Stanley | Long | 93 | 11/12/21 | 6,274,013 | 446,587 | ||||||||||
Wheat Future | Morgan Stanley | Long | 45 | 09/14/21 | 1,583,438 | 138,259 | ||||||||||
$ | 252,351,700 | $ | 11,528,539 |
Description | Counterparty | Position | Contracts | Expiration Date | Notional Amount/Fair Value (Note 2) | Unrealized Depreciation | ||||||||||
Coffee 'C' Future | Morgan Stanley | Short | (39) | 12/20/21 | $ | (2,668,331 | ) | $ | (401,559 | ) | ||||||
Copper Future | Morgan Stanley | Short | (474) | 09/28/21 | (53,117,625 | ) | (3,593,457 | ) | ||||||||
Corn Future | Morgan Stanley | Long | 297 | 09/14/21 | 8,122,950 | (214,051 | ) | |||||||||
Cotton No.2 Future | Morgan Stanley | Short | (166) | 12/08/21 | (7,419,370 | ) | (370,948 | ) | ||||||||
Frozen Concentrated Orange Juice Future | Morgan Stanley | Short | (12) | 11/09/21 | (244,260 | ) | (20,281 | ) | ||||||||
Gasoline Robusta Future | Morgan Stanley | Short | (67) | 10/29/21 | (6,026,462 | ) | (138,466 | ) | ||||||||
Heating Oil Future | Morgan Stanley | Short | (102) | 08/31/21 | (9,405,950 | ) | (751,774 | ) | ||||||||
Lean Hogs Future | Morgan Stanley | Short | (49) | 12/14/21 | (1,600,340 | ) | (77,055 | ) | ||||||||
Live Cattle Future | Morgan Stanley | Short | (64) | 12/31/21 | (3,395,840 | ) | (7,203 | ) | ||||||||
LME Aluminum Future | Morgan Stanley | Short | (92) | 09/13/21 | (5,968,500 | ) | (946,566 | ) | ||||||||
Platinum Future | Morgan Stanley | Long | 209 | 10/27/21 | 10,955,780 | (67,301 | ) | |||||||||
Silver Future | Morgan Stanley | Long | 194 | 09/28/21 | 24,780,590 | (497,633 | ) | |||||||||
Soybean Meal Future | Morgan Stanley | Long | 349 | 09/14/21 | 12,260,370 | (481,788 | ) | |||||||||
Sugar #11 Future | Morgan Stanley | Short | (229) | 09/30/21 | (4,593,557 | ) | (310,064 | ) | ||||||||
WTI Crude Future | Morgan Stanley | Short | (805) | 08/20/21 | (59,529,750 | ) | (1,044,065 | ) | ||||||||
$ | (97,850,295 | ) | $ | (8,922,211 | ) |
Total Return Swap Contracts (a)
Swap Counterparty | Reference Obligation | Notional Amount | Floating Rate/Fixed Amount Paid by Fund | Termination Date | Value | Unrealized Appreciation (Depreciation) Base | ||||||||||||
Citigroup | CRB 3m Fwd TR Index** | $ | 175,131,676 | USB3MTA + 30 bps* | 9/30/2021 | $ | 175,131,682 | $ | 6 | |||||||||
Bank of America - Merrill Lynch | CRB 3m Fwd TR Index** | 175,777,104 | USB3MTA + 25 bps* | 6/30/2022 | 175,777,108 | 4 | ||||||||||||
Societe Generale | CRB 3m Fwd TR Index** | 58,109,522 | USB3MTA + 28 bps* | 11/30/2021 | 58,109,525 | 3 | ||||||||||||
UBS | CRB 3m Fwd TR Index** | 178,998,249 | USB3MTA + 25 bps* | 11/30/2021 | 178,998,251 | 2 | ||||||||||||
$ | 588,016,551 | $ | 588,016,566 | $ | 15 |
(a) | For long positions in the total return swap, the Fund receives payments based on any positive return of the Reference Obligation less the rate paid by the Fund. The Fund makes payments on any negative return of such Reference Obligations plus the rate paid by the Fund. For short positions in the total return swap, the Fund makes payments based on any positive return of the Reference Obligation less the rate received by the Fund. The Fund receives payments on any negative return of such Reference Obligations plus the rate received by the Fund. |
* | United States Auction Results 3 Month Treasury Bill High Discount. Total return swap resets monthly. |
** | CRB - Commodity Research Bureau |
See Notes to Quarterly Statement of Investments.
ALPS | Kotak India Growth Fund
STATEMENT OF INVESTMENTS
July 31, 2021 (Unaudited)
Shares | Value (Note 2) | |||||||
COMMON STOCKS (98.83%) | ||||||||
Communication Services (3.87%) | ||||||||
Entertainment (1.41%) | ||||||||
Nazara Technologies, Ltd.(a) | 137,115 | $ | 3,418,616 | |||||
PVR, Ltd.(a) | 88,605 | 1,673,980 | ||||||
5,092,596 | ||||||||
Wireless Telecommunication Services (2.46%) | ||||||||
Bharti Airtel, Ltd. | 1,169,009 | 8,842,615 | ||||||
TOTAL COMMUNICATION SERVICES | 13,935,211 | |||||||
Consumer Discretionary (9.44%) | ||||||||
Auto Components (2.21%) | ||||||||
MRF, Ltd. | 3,528 | 3,793,785 | ||||||
Sona BLW Precision Forgings, Ltd.(a) | 385,162 | 2,273,499 | ||||||
Varroc Engineering, Ltd.(a)(b)(c) | 414,020 | 1,890,372 | ||||||
7,957,656 | ||||||||
Automobiles (1.99%) | ||||||||
Mahindra & Mahindra, Ltd. | 264,434 | 2,646,919 | ||||||
Maruti Suzuki India, Ltd. | 47,917 | 4,502,132 | ||||||
7,149,051 | ||||||||
Hotels, Restaurants & Leisure (1.00%) | ||||||||
Jubilant Foodworks, Ltd. | 70,862 | 3,604,652 | ||||||
Household Durables (3.34%) | ||||||||
Crompton Greaves Consumer Electricals, Ltd. | 1,285,631 | 8,432,346 | ||||||
Orient Electric, Ltd. | 830,000 | 3,596,417 | ||||||
12,028,763 | ||||||||
Textiles, Apparel & Luxury Goods (0.90%) | ||||||||
Titan Co., Ltd. | 139,661 | 3,223,665 | ||||||
TOTAL CONSUMER DISCRETIONARY | 33,963,787 | |||||||
Consumer Staples (6.11%) | ||||||||
Food Products (0.80%) | ||||||||
Britannia Industries, Ltd. | 61,961 | 2,854,958 | ||||||
Household Products (2.33%) | ||||||||
Hindustan Unilever, Ltd. | 267,136 | 8,393,670 | ||||||
Personal Products (2.98%) | ||||||||
Dabur India, Ltd. | 634,940 | 5,129,761 | ||||||
Emami, Ltd. | 743,169 | 5,592,142 | ||||||
10,721,903 | ||||||||
TOTAL CONSUMER STAPLES | 21,970,531 |
Shares | Value (Note 2) | |||||||
Energy (5.79%) | ||||||||
Oil, Gas & Consumable Fuels (5.79%) | ||||||||
Petronet LNG, Ltd. | 392,051 | $ | 1,150,606 | |||||
Reliance Industries, Ltd. | 745,130 | 19,671,723 | ||||||
20,822,329 | ||||||||
TOTAL ENERGY | 20,822,329 | |||||||
Financials (31.36%) | ||||||||
Banks (16.86%) | ||||||||
AU Small Finance Bank, Ltd.(a)(b)(c) | 408,500 | 6,712,812 | ||||||
Axis Bank, Ltd.(a) | 1,212,660 | 11,579,286 | ||||||
HDFC Bank, Ltd., ADR | 60,825 | 4,292,420 | ||||||
HDFC Bank, Ltd. | 589,460 | 11,343,685 | ||||||
ICICI Bank, Ltd., Sponsored ADR | 575,349 | 10,695,738 | ||||||
ICICI Bank, Ltd. | 1,020,367 | 9,385,726 | ||||||
State Bank of India | 1,141,706 | 6,637,452 | ||||||
60,647,119 | ||||||||
Consumer Finance (4.81%) | ||||||||
Bajaj Finance, Ltd. | 94,485 | 7,932,230 | ||||||
Muthoot Finance, Ltd. | 98,148 | 2,052,222 | ||||||
SBI Cards & Payment Services, Ltd.(a) | 525,843 | 7,332,805 | ||||||
17,317,257 | ||||||||
Insurance (4.22%) | ||||||||
HDFC Life Insurance Co., Ltd.(b)(c) | 416,936 | 3,724,298 | ||||||
ICICI Lombard General Insurance Co., Ltd.(b)(c) | 244,479 | 4,854,914 | ||||||
Max Financial Services, Ltd.(a) | 437,229 | 6,595,774 | ||||||
15,174,986 | ||||||||
Real Estate Management & Development (0.92%) | ||||||||
Oberoi Realty, Ltd.(a) | 366,409 | 3,307,944 | ||||||
Thrifts & Mortgage Finance (4.55%) | ||||||||
Aavas Financiers, Ltd.(a) | 219,881 | 7,451,164 | ||||||
Housing Development Finance Corp., Ltd. | 270,463 | 8,903,542 | ||||||
16,354,706 | ||||||||
TOTAL FINANCIALS | 112,802,012 | |||||||
Health Care (6.85%) | ||||||||
Health Care Providers & Services (3.52%) | ||||||||
Dr Lal PathLabs, Ltd.(b)(c) | 60,235 | 2,883,849 | ||||||
Fortis Healthcare, Ltd.(a) | 1,128,870 | 3,811,081 | ||||||
Max Healthcare Institute, Ltd.(a) | 1,491,910 | 5,955,551 | ||||||
12,650,481 | ||||||||
Pharmaceuticals (3.33%) | ||||||||
Alkem Laboratories, Ltd. | 77,590 | 3,603,891 | ||||||
Aurobindo Pharma, Ltd. | 412,620 | 5,089,335 |
Shares | Value (Note 2) | |||||||
Pharmaceuticals (continued) | ||||||||
Cipla, Ltd. | 267,413 | $ | 3,309,123 | |||||
12,002,349 | ||||||||
TOTAL HEALTH CARE | 24,652,830 | |||||||
Industrials (9.16%) | ||||||||
Air Freight & Logistics (1.04%) | ||||||||
Mahindra Logistics, Ltd.(b)(c) | 369,997 | 3,722,972 | ||||||
Building Products (1.46%) | ||||||||
Kajaria Ceramics, Ltd. | 393,898 | 5,266,064 | ||||||
Commercial Services & Supplies (1.09%) | ||||||||
Indian Railway Catering & Tourism Corp., Ltd.(a) | 124,854 | 3,919,464 | ||||||
Construction & Engineering (2.90%) | ||||||||
Kalpataru Power Transmission, Ltd. | 654,000 | 4,151,365 | ||||||
Larsen & Toubro, Ltd. | 291,649 | 6,293,279 | ||||||
10,444,644 | ||||||||
Electrical Equipment (1.55%) | ||||||||
V-Guard Industries, Ltd. | 1,659,451 | 5,556,747 | ||||||
Trading Companies & Distributors (1.12%) | ||||||||
IndiaMart InterMesh, Ltd.(b)(c) | 41,837 | 4,025,543 | ||||||
TOTAL INDUSTRIALS | 32,935,434 | |||||||
Information Technology (16.23%) | ||||||||
IT Services (16.23%) | ||||||||
Infosys, Ltd., Sponsored ADR | 472,176 | 10,444,533 | ||||||
Infosys, Ltd. | 926,794 | 20,198,468 | ||||||
Persistent Systems, Ltd. | 140,369 | 5,943,785 | ||||||
Tata Consultancy Services, Ltd. | 274,551 | 11,705,127 | ||||||
Tech Mahindra, Ltd. | 620,000 | 10,093,198 | ||||||
58,385,111 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 58,385,111 | |||||||
Materials (7.98%) | ||||||||
Chemicals (3.04%) | ||||||||
Kansai Nerolac Paints, Ltd. | 445,827 | 3,754,325 | ||||||
SRF, Ltd. | 61,707 | 7,186,294 | ||||||
10,940,619 | ||||||||
Construction Materials (4.94%) | ||||||||
JK Cement, Ltd. | 98,000 | 4,293,655 | ||||||
Ramco Cements, Ltd. | 444,366 | 6,536,728 | ||||||
Shree Cement, Ltd. | 18,219 | 6,934,001 | ||||||
17,764,384 | ||||||||
TOTAL MATERIALS | 28,705,003 |
Shares | Value (Note 2) | |||||||
Real Estate (0.90%) | ||||||||
Real Estate Management & Development (0.90%) | ||||||||
Brigade Enterprises, Ltd. | 737,001 | $ | 3,234,411 | |||||
TOTAL REAL ESTATE | 3,234,411 | |||||||
Utilities (1.14%) | ||||||||
Gas Utilities (1.14%) | ||||||||
Indraprastha Gas, Ltd. | 547,248 | 4,108,777 | ||||||
TOTAL UTILITIES | 4,108,777 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $269,024,718) | 355,515,436 | |||||||
TOTAL INVESTMENTS (98.83%) | ||||||||
(Cost $269,024,718) | $ | 355,515,436 | ||||||
Other Assets In Excess Of Liabilities (1.17%) | 4,217,144 | |||||||
NET ASSETS (100.00%) | $ | 359,732,580 |
(a) | Non-Income Producing Security. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of July 31, 2021, the aggregate market value of those securities was $27,814,760, representing 7.73% of net assets. |
(c) | Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines approved by the Fund's Board of Trustees. As of July 31, 2021 the aggregate market value of those securities was 27,814,760 representing 7.73% of net assets. |
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.
See Notes to Quarterly Statement of Investments.
ALPS | Smith Short Duration Bond Fund
STATEMENT OF INVESTMENTS
July 31, 2021 (Unaudited)
Principal Amount | Value (Note 2) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (0.48%) | ||||||||
Fannie Mae | ||||||||
Series 1992-180, Class F, | ||||||||
1M US L + 1.15%, 10/25/2022(a) | $ | 4,883 | $ | 4,905 | ||||
Series 1992-49, Class L, | ||||||||
7.000%, 04/25/2022 | 9,386 | 9,512 | ||||||
Series 1992-52, Class FD, | ||||||||
1M US L + 0.02%, 09/25/2022(a) | 1,927 | 1,919 | ||||||
Series 1992-62, Class FA, | ||||||||
1M US L + 0.90%, 10/25/2022(a) | 16,825 | 16,803 | ||||||
Series 1992-73, Class FC, | ||||||||
1M US L + 0.75%, 05/25/2022(a) | 623 | 622 | ||||||
Series 1992-89, Class FB, | ||||||||
1M US L + 0.50%, 06/25/2022(a) | 487 | 486 | ||||||
Series 1993-184, Class M, | ||||||||
–%, 09/25/2023(b) | 8,974 | 8,877 | ||||||
Series 1993-189, Class FB, | ||||||||
10Y US TI + -0.65%, 10/25/2023(a) | 4,912 | 4,850 | ||||||
Series 1993-230, Class FA, | ||||||||
1M US L + 0.60%, 12/25/2023(a) | 28,227 | 28,140 | ||||||
Series 1993-255, Class E, | ||||||||
7.100%, 12/25/2023 | 35,213 | 37,203 | ||||||
Series 1993-27, Class FC, | ||||||||
1M US L + 0.90%, 08/25/2023(a) | 2,105 | 2,105 | ||||||
Series 1993-31, Class PN, | ||||||||
7.000%, 09/25/2023 | 74,132 | 77,568 | ||||||
Series 1993-97, Class FA, | ||||||||
1M US L + 1.25%, 05/25/2023(a) | 4,836 | 4,814 | ||||||
Series 1994-18, Class FA, | ||||||||
1M US L + 0.60%, 02/25/2024(a) | 11,289 | 11,326 | ||||||
Series 1994-22, Class F, | ||||||||
1M US L + 1.20%, 01/25/2024(a) | 73,123 | 73,747 | ||||||
Series 1994-3, Class FA, | ||||||||
1M US L + 0.65%, 03/25/2024(a) | 4,645 | 4,660 | ||||||
Series 1994-3, Class FB, | ||||||||
1M US L + 0.65%, 01/25/2024(a) | 24,889 | 24,980 | ||||||
Series 1994-61, Class E, | ||||||||
7.500%, 04/25/2024 | 32,477 | 34,339 | ||||||
Series 1994-75, Class K, | ||||||||
7.000%, 04/25/2024 | 21,232 | 22,616 | ||||||
Series 1994-77, Class FB, | ||||||||
1M US L + 1.50%, 04/25/2024(a) | 73,978 | 74,866 | ||||||
Series 1997-12, Class FA, | ||||||||
1M US L + 1.00%, 04/18/2027(a) | 25,448 | 25,805 | ||||||
Series 1997-49, Class F, | ||||||||
1M US L + 0.50%, 06/17/2027(a) | 39,073 | 39,233 |
Principal Amount | Value (Note 2) | |||||||
Series 2003-39, Class PG, | ||||||||
5.500%, 05/25/2023 | $ | 26,920 | $ | 27,686 | ||||
Series 2003-49, Class YC, | ||||||||
4.000%, 06/25/2023 | 14,631 | 14,920 | ||||||
Series 2004-53, Class NC, | ||||||||
5.500%, 07/25/2024 | 11,536 | 11,964 | ||||||
Series 2004-95, Class AK, | ||||||||
5.500%, 01/25/2025 | 18,883 | 19,960 | ||||||
Series 2005-121, Class DY, | ||||||||
5.500%, 01/25/2026 | 19,289 | 20,487 | ||||||
Series 2006-22, Class CE, | ||||||||
4.500%, 08/25/2023 | 15,254 | 15,710 | ||||||
Series 2011-141, Class CA, | ||||||||
2.000%, 12/25/2025 | 13,459 | 13,499 | ||||||
Series 2011-40, Class KA, | ||||||||
3.500%, 03/25/2026 | 84,075 | 88,529 | ||||||
Series 2011-44, Class EB, | ||||||||
3.000%, 05/25/2026 | 33,987 | 35,416 | ||||||
Series 2011-61, Class B, | ||||||||
3.000%, 07/25/2026 | 56,893 | 59,356 | ||||||
Series 2011-80, Class KB, | ||||||||
3.500%, 08/25/2026 | 66,038 | 69,713 | ||||||
Series 2012-1, Class GB, | ||||||||
2.000%, 02/25/2022 | 1,587 | 1,588 | ||||||
Series 2012-22, Class ND, | ||||||||
2.000%, 12/25/2026 | 111,359 | 113,770 | ||||||
Series 2012-47, Class HA, | ||||||||
1.500%, 05/25/2027 | 73,711 | 74,900 | ||||||
1,076,874 | ||||||||
Freddie Mac | ||||||||
Series 1992-1242, Class C, | ||||||||
1M US L + 0.55%, 04/15/2022(a) | 1,443 | 1,442 | ||||||
Series 1993-1487, Class O, | ||||||||
1M US L + 0.75%, 03/15/2023(a) | 8,065 | 8,090 | ||||||
Series 1993-1534, Class J, | ||||||||
1M US L + 0.90%, 06/15/2023(a) | 11,205 | 11,258 | ||||||
Series 1993-1560, Class Z, | ||||||||
7.000%, 08/15/2023 | 12,029 | 12,531 | ||||||
Series 1993-1567, Class A, | ||||||||
1M US L + 0.40%, 08/15/2023(a) | 42,241 | 42,211 | ||||||
Series 1993-1584, Class L, | ||||||||
6.500%, 09/15/2023 | 20,146 | 21,189 | ||||||
Series 1993-1602, Class PJ, | ||||||||
6.500%, 10/15/2023 | 24,183 | 25,249 | ||||||
Series 1993-1611, Class Z, | ||||||||
6.500%, 11/15/2023 | 12,277 | 12,983 | ||||||
Series 1993-1628, Class LZ, | ||||||||
6.500%, 12/15/2023 | 7,538 | 7,951 | ||||||
Series 1993-1630, Class PK, | ||||||||
6.000%, 11/15/2023 | 13,750 | 14,453 |
Principal Amount | Value (Note 2) | |||||||
Series 1993-1632, Class FB, | ||||||||
1M US L + 1.20%, 11/15/2023(a) | $ | 17,336 | $ | 17,471 | ||||
Series 1993-1636, Class F, | ||||||||
1M US L + 0.65%, 11/15/2023(a) | 14,016 | 14,065 | ||||||
Series 1993-21, Class F, | ||||||||
1M US L + 0.50%, 10/25/2023(a) | 16,386 | 16,417 | ||||||
Series 1993-24, Class FJ, | ||||||||
1M US L + 0.50%, 11/25/2023(a) | 74,549 | 74,692 | ||||||
Series 1994-1673, Class FB, | ||||||||
10Y US TI + -0.50%, 02/15/2024(a) | 6,047 | 6,004 | ||||||
Series 1994-1699, Class FB, | ||||||||
1M US L + 1.00%, 03/15/2024(a) | 9,708 | 9,718 | ||||||
Series 1994-1707, Class F, | ||||||||
1M US L + 0.70%, 03/15/2024(a) | 14,109 | 14,166 | ||||||
Series 1994-1730, Class Z, | ||||||||
7.000%, 05/15/2024 | 32,794 | 35,062 | ||||||
Series 1994-1744, Class FD, | ||||||||
1M US L + 1.98%, 08/15/2024(a) | 40,319 | 41,144 | ||||||
Series 1994-32, Class PN, | ||||||||
7.500%, 04/25/2024 | 118,448 | 125,238 | ||||||
Series 1994-43, Class PH, | ||||||||
6.500%, 10/17/2024 | 46,020 | 48,460 | ||||||
Series 1996-1810, Class D, | ||||||||
6.000%, 02/15/2026 | 19,152 | 20,475 | ||||||
Series 1996-1885, Class FA, | ||||||||
1M US L + 0.45%, 09/15/2026(a) | 7,914 | 7,936 | ||||||
Series 1997-1983, Class Z, | ||||||||
6.500%, 12/15/2023 | 12,483 | 13,203 | ||||||
Series 2002-2528, Class KM, | ||||||||
5.500%, 11/15/2022 | 23,859 | 24,344 | ||||||
Series 2003-2595, Class GC, | ||||||||
5.500%, 04/15/2023 | 30,092 | 30,907 | ||||||
Series 2003-2634, Class PT, | ||||||||
5.000%, 06/15/2023 | 9,720 | 9,933 | ||||||
Series 2004-2877, Class AL, | ||||||||
5.000%, 10/15/2024 | 4,130 | 4,299 | ||||||
Series 2005-3005, Class ED, | ||||||||
5.000%, 07/15/2025 | 72,103 | 76,282 | ||||||
Series 2006-3104, Class DH, | ||||||||
5.000%, 01/15/2026 | 38,545 | 41,084 | ||||||
Series 2009-3575, Class EB, | ||||||||
4.000%, 09/15/2024 | 15,437 | 15,967 | ||||||
Series 2010-3661, Class B, | ||||||||
4.000%, 04/15/2025 | 35,252 | 36,709 | ||||||
Series 2010-3670, Class LX, | ||||||||
2.000%, 05/15/2025 | 1 | 1 | ||||||
Series 2010-3710, Class MG, | ||||||||
4.000%, 08/15/2025(c) | 26,533 | 28,563 | ||||||
Series 2010-3737, Class NA, | ||||||||
3.500%, 06/15/2025 | 35,397 | 35,475 |
Principal Amount | Value (Note 2) | |||||||
Series 2010-3779, Class KJ, | ||||||||
2.750%, 11/15/2025 | $ | 46,777 | $ | 48,199 | ||||
Series 2011-3822, Class VE, | ||||||||
4.000%, 05/15/2022 | 116,720 | 118,105 | ||||||
Series 2011-3829, Class BE, | ||||||||
3.500%, 03/15/2026 | 22,805 | 24,001 | ||||||
Series 2011-3845, Class FQ, | ||||||||
1M US L + 0.25%, 02/15/2026(a) | 5,146 | 5,142 | ||||||
Series 2011-3872, Class ND, | ||||||||
2.000%, 12/15/2021 | 279 | 279 | ||||||
Series 2011-3907, Class FM, | ||||||||
1M US L + 0.35%, 05/15/2026(a) | 13,715 | 13,722 | ||||||
Series 2011-3945, Class BJ, | ||||||||
2.000%, 03/15/2026 | 24,838 | 24,989 | ||||||
Series 2012-4003, Class BG, | ||||||||
2.000%, 10/15/2026 | 63,722 | 65,239 | ||||||
Series 2013-4177, Class NB, | ||||||||
1.500%, 03/15/2028 | 33,851 | 34,433 | ||||||
1,239,081 | ||||||||
Ginnie Mae | ||||||||
Series 2010-101, Class GU, | ||||||||
4.000%, 08/20/2025(c) | 28,729 | 30,300 | ||||||
Series 2013-53, Class KN, | ||||||||
1.500%, 08/20/2025 | 30,601 | 31,056 | ||||||
61,356 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $2,346,676) | 2,377,311 |
Principal Amount | Value (Note 2) | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (0.24%) | ||||||||
Fannie Mae-Aces | ||||||||
Series 2011-M8, Class A2, | ||||||||
2.922%, 08/25/2021 | 51,756 | 51,724 | ||||||
Series 2012-M1, Class A2, | ||||||||
2.729%, 10/25/2021 | 13,161 | 13,176 | ||||||
Series 2012-M10, Class AFL, | ||||||||
1M US L + 0.45%, 09/25/2022(a) | 42,729 | 42,739 | ||||||
Series 2013-M14, Class APT, | ||||||||
2.553%, 04/25/2023(a) | 7,790 | 7,994 | ||||||
Series 2013-M3, Class A2, | ||||||||
2.509%, 11/25/2022(a) | 282,303 | 287,593 | ||||||
Series 2016-M13, Class FA, | ||||||||
1M US L + 0.67%, 11/25/2023(a) | 17,816 | 17,873 | ||||||
421,099 | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series 2012-K023, Class X1, | ||||||||
1.208%, 08/25/2022(a) | 3,630,357 | 38,187 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-K026, Class X1, | ||||||||
0.944%, 11/25/2022(a) | $ | 5,519,524 | $ | 56,850 | ||||
Series 2015-KF07, Class A, | ||||||||
1M US L + 0.29%, 02/25/2025(a) | 31,426 | 31,304 | ||||||
Series 2015-KF12, Class A, | ||||||||
1M US L + 0.70%, 09/25/2022(a) | 53,675 | 53,738 | ||||||
Series 2016-KF14, Class A, | ||||||||
1M US L + 0.65%, 01/25/2023(a) | 116,610 | 116,763 | ||||||
Series 2016-KJ08, Class A2, | ||||||||
2.356%, 08/25/2022 | 284,104 | 286,904 | ||||||
Series 2017-J15L, Class AFL, | ||||||||
1M US L + 0.35%, 08/25/2025(a) | 28,587 | 28,504 | ||||||
Series 2017-K725, Class A1, | ||||||||
2.666%, 05/25/2023 | 21,700 | 21,983 | ||||||
Series 2017-K728, Class A2, | ||||||||
3.064%, 08/25/2024(a) | 117,000 | 124,598 | ||||||
758,831 | ||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $1,161,020) | 1,179,930 |
Principal Amount | Value (Note 2) | |||||||
MORTGAGE-BACKED SECURITIES (2.67%) | ||||||||
Fannie Mae Pool | ||||||||
Series 2009-958485, | ||||||||
5.500%, 03/01/2024 | 2,441,990 | 2,692,420 | ||||||
Series 2011-MA0717, | ||||||||
3.500%, 04/01/2026 | 30,188 | 31,910 | ||||||
Series 2012-471513, | ||||||||
2.900%, 06/01/2022 | 142,287 | 143,807 | ||||||
Series 2012-471690, | ||||||||
2.790%, 07/01/2022 | 155,160 | 157,066 | ||||||
Series 2012-AM1076, | ||||||||
2.920%, 10/01/2024 | 235,966 | 235,948 | ||||||
Series 2013-AM4125, | ||||||||
3.740%, 08/01/2023 | 230,000 | 241,953 | ||||||
Series 2015-AM9288, | ||||||||
2.930%, 07/01/2025 | 1,351,810 | 1,386,640 | ||||||
Series 2016-, | ||||||||
2.910%, 07/01/2026 | 36,521 | 38,296 | ||||||
Series 2016-AL8938, | ||||||||
2.523%, 04/01/2022(a) | 18,369 | 18,428 | ||||||
Series 2016-AL8941, | ||||||||
2.819%, 01/01/2024(a) | 60,334 | 62,598 | ||||||
Series 2016-AN1413, | ||||||||
2.490%, 05/01/2026 | 144,409 | 154,491 | ||||||
Series 2017-AN5196, | ||||||||
2.910%, 04/01/2024 | 150,000 | 151,950 | ||||||
Series 2017-AN6641, | ||||||||
2.710%, 12/01/2023 | 1,686,081 | 1,756,874 |
Principal Amount | Value (Note 2) | |||||||
Series 2017-AN6645, | ||||||||
2.600%, 09/01/2024 | $ | 250,000 | $ | 255,252 | ||||
Series 2018-AN8096, | ||||||||
3.020%, 06/01/2024 | 305,000 | 305,040 | ||||||
Series 2018-AN8203, | ||||||||
2.950%, 01/01/2025 | 2,929,505 | 3,043,174 | ||||||
Series 2018-BL0760, | ||||||||
3.790%, 12/01/2025 | 590,000 | 637,253 | ||||||
Series 2019-BL2449, | ||||||||
2.890%, 02/01/2025 | 290,919 | 312,334 | ||||||
Series 2019-BL2539, | ||||||||
3.050%, 05/01/2024 | 140,646 | 145,886 | ||||||
11,771,320 | ||||||||
Freddie Mac Gold Pool | ||||||||
Series 2012-T40090, | ||||||||
3.000%, 05/01/2027 | 110,199 | 115,996 | ||||||
Freddie Mac Pool | ||||||||
Series 2017-WN2000, | ||||||||
2.700%, 08/01/2023 | 1,400,000 | 1,412,595 | ||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $13,252,625) | 13,299,911 | |||||||
CORPORATE BONDS (78.68%) | ||||||||
Aerospace & Defense (2.90%) | ||||||||
Boeing Co. | ||||||||
4.51%, 05/01/2023 | 4,447,000 | 4,726,698 | ||||||
Teledyne Technologies, Inc. | ||||||||
0.65%, 04/01/2023 | 3,000,000 | 3,001,825 | ||||||
0.95%, 04/01/2024 | 3,000,000 | 3,003,444 | ||||||
TransDigm, Inc. | ||||||||
8.00%, 12/15/2025(d) | 3,500,000 | 3,762,588 | ||||||
Total Aerospace & Defense | 14,494,555 | |||||||
Airlines (0.58%) | ||||||||
Delta Air Lines, Inc. | ||||||||
7.00%, 05/01/2025(d) | 2,000,000 | 2,353,828 | ||||||
Southwest Airlines Co. | ||||||||
4.75%, 05/04/2023 | 500,000 | 535,911 | ||||||
Total Airlines | 2,889,739 | |||||||
Apparel & Textile Products (0.88%) | ||||||||
Hanesbrands, Inc. | ||||||||
5.38%, 05/15/2025(d) | 3,300,000 | 3,475,098 | ||||||
Ralph Lauren Corp. | ||||||||
1.70%, 06/15/2022 | 925,000 | 937,053 | ||||||
Total Apparel & Textile Products | 4,412,151 | |||||||
Automobiles Manufacturing (7.48%) | ||||||||
American Honda Finance Corp. | ||||||||
0.65%, 09/08/2023 | 1,500,000 | 1,508,854 |
Principal Amount | Value (Note 2) | |||||||
Ford Motor Co. | ||||||||
8.50%, 04/21/2023 | $ | 2,695,000 | $ | 2,995,439 | ||||
Ford Motor Credit Co. LLC | ||||||||
3.38%, 11/13/2025 | 465,000 | 486,038 | ||||||
3.81%, 10/12/2021 | 1,000,000 | 1,005,964 | ||||||
5.88%, 08/02/2021 | 4,800,000 | 4,800,000 | ||||||
3M US L + 1.27%, 03/28/2022(a) | 1,090,000 | 1,086,783 | ||||||
General Motors Co. | ||||||||
5.40%, 10/02/2023 | 2,250,000 | 2,468,882 | ||||||
General Motors Financial Co., Inc. | ||||||||
1.05%, 03/08/2024 | 3,750,000 | 3,782,607 | ||||||
5.10%, 01/17/2024 | 1,200,000 | 1,321,038 | ||||||
Hyundai Capital America | ||||||||
0.88%, 06/14/2024(d) | 4,000,000 | 3,994,541 | ||||||
Kia Corp. | ||||||||
1.00%, 04/16/2024(d) | 2,850,000 | 2,870,035 | ||||||
Nissan Motor Acceptance Corp. | ||||||||
1.05%, 03/08/2024(d) | 2,000,000 | 2,001,436 | ||||||
Nissan Motor Co., Ltd. | ||||||||
3.04%, 09/15/2023(d) | 4,685,000 | 4,885,664 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
0.75%, 11/23/2022(d) | 1,500,000 | 1,505,911 | ||||||
0.88%, 11/22/2023(d) | 2,500,000 | 2,514,064 | ||||||
Total Automobiles Manufacturing | 37,227,256 | |||||||
Banks (5.47%) | ||||||||
CIT Group, Inc. | ||||||||
1D US SOFR + 3.83%, 06/19/2024(a) | 3,855,000 | 4,059,526 | ||||||
Citizens Financial Group, Inc. | ||||||||
4.15%, 09/28/2022(d) | 400,000 | 415,137 | ||||||
Cooperatieve Rabobank UA | ||||||||
3.95%, 11/09/2022 | 2,686,000 | 2,807,216 | ||||||
Danske Bank A/S | ||||||||
5.00%, 01/12/2022(d) | 950,000 | 968,452 | ||||||
5.38%, 01/12/2024(d) | 250,000 | 276,892 | ||||||
1Y US TI + 1.03%, 12/08/2023(a)(d) | 1,000,000 | 1,004,874 | ||||||
3M US L + 1.249%, 09/20/2022(a)(d) | 628,000 | 629,947 | ||||||
Discover Bank | ||||||||
3.35%, 02/06/2023 | 2,110,000 | 2,198,708 | ||||||
First Horizon Corp. | ||||||||
3.55%, 05/26/2023 | 500,000 | 525,302 | ||||||
FNB Corp. | ||||||||
2.20%, 02/24/2023 | 200,000 | 203,427 | ||||||
Lloyds Banking Group PLC | ||||||||
1Y US TI + 0.55%, 05/11/2024(a) | 2,000,000 | 2,008,284 | ||||||
National Bank of Canada | ||||||||
1Y US TI + 0.40%, 11/15/2024(a) | 3,000,000 | 2,995,931 | ||||||
NatWest Markets PLC | ||||||||
0.80%, 08/12/2024(d) | 1,000,000 | 999,473 |
Principal Amount | Value (Note 2) | |||||||
Synchrony Bank | ||||||||
3.00%, 06/15/2022 | $ | 2,770,000 | $ | 2,827,473 | ||||
Synovus Bank/Columbus GA | ||||||||
1D US SOFR + 0.95%, 02/10/2023(a) | 2,750,000 | 2,770,076 | ||||||
Truist Financial Corp. | ||||||||
1D US SOFR + 0.40%, 06/09/2025(a) | 2,000,000 | 2,002,576 | ||||||
US Bank NA | ||||||||
3.45%, 11/16/2021 | 250,000 | 251,669 | ||||||
Wells Fargo & Co. | ||||||||
4.13%, 08/15/2023 | 300,000 | 322,038 | ||||||
Total Banks | 27,267,001 | |||||||
Biotechnology (0.20%) | ||||||||
Roche Holdings, Inc. | ||||||||
1D US SOFR + 0.24%, 03/05/2024(a)(d) | 1,000,000 | 1,001,728 | ||||||
Cable & Satellite (0.98%) | ||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3M US L + 1.65%, 02/01/2024(a) | 3,530,000 | 3,628,163 | ||||||
Sirius XM Radio, Inc. | ||||||||
3.88%, 08/01/2022 | 1,250,000 | 1,250,000 | ||||||
Total Cable & Satellite | 4,878,163 | |||||||
Casinos & Gaming (0.25%) | ||||||||
MGM Resorts International | ||||||||
7.75%, 03/15/2022 | 1,186,000 | 1,231,032 | ||||||
Chemicals (1.82%) | ||||||||
Avient Corp. | ||||||||
5.75%, 05/15/2025(d) | 3,300,000 | 3,471,221 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
0.70%, 09/15/2022(d) | 1,500,000 | 1,502,718 | ||||||
LYB International Finance III LLC | ||||||||
3M US L + 1.00%, 10/01/2023(a) | 4,100,000 | 4,105,822 | ||||||
Total Chemicals | 9,079,761 | |||||||
Commercial Finance (1.54%) | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
6.50%, 07/15/2025 | 3,500,000 | 4,099,607 | ||||||
Avolon Holdings Funding, Ltd. | ||||||||
3.63%, 05/01/2022(d) | 730,000 | 744,317 | ||||||
5.13%, 10/01/2023(d) | 475,000 | 513,644 | ||||||
Park Aerospace Holdings, Ltd. | ||||||||
4.50%, 03/15/2023(d) | 100,000 | 105,175 | ||||||
5.25%, 08/15/2022(d) | 2,121,000 | 2,213,231 | ||||||
Total Commercial Finance | 7,675,974 |
Principal Amount | Value (Note 2) | |||||||
Construction Materials Manufacturing (1.32%) | ||||||||
Martin Marietta Materials, Inc. | ||||||||
0.65%, 07/15/2023 | $ | 6,540,000 | $ | 6,554,075 | ||||
Consumer Finance (3.56%) | ||||||||
Ally Financial, Inc. | ||||||||
1.45%, 10/02/2023 | 4,730,000 | 4,805,296 | ||||||
Capital One Bank USA NA | ||||||||
1D US SOFR + 0.616%, 01/27/2023(a) | 300,000 | 302,459 | ||||||
Capital One Financial Corp. | ||||||||
2.60%, 05/11/2023 | 400,000 | 414,988 | ||||||
Fidelity National Information Services, Inc. | ||||||||
0.38%, 03/01/2023 | 2,000,000 | 2,001,401 | ||||||
0.60%, 03/01/2024 | 2,000,000 | 1,999,887 | ||||||
OneMain Finance Corp. | ||||||||
6.13%, 05/15/2022 | 2,000,000 | 2,085,440 | ||||||
8.88%, 06/01/2025 | 2,302,000 | 2,535,031 | ||||||
PayPal Holdings, Inc. | ||||||||
1.35%, 06/01/2023 | 1,000,000 | 1,019,109 | ||||||
Square, Inc. | ||||||||
2.75%, 06/01/2026(d) | 2,500,000 | 2,559,562 | ||||||
Total Consumer Finance | 17,723,173 | |||||||
Department Stores (1.01%) | ||||||||
Nordstrom, Inc. | ||||||||
Series WI | ||||||||
2.30%, 04/08/2024 | 5,000,000 | 5,019,399 | ||||||
Design, Manufacturing & Distribution (0.60%) | ||||||||
SYNNEX Corp. | ||||||||
1.25%, 08/09/2024(d) | 3,000,000 | 3,001,194 | ||||||
Diversified Banks (6.95%) | ||||||||
Banco Santander SA | ||||||||
1Y US TI + 0.45%, 06/30/2024(a) | 1,000,000 | 1,003,525 | ||||||
Bank of America Corp. | ||||||||
1D US SOFR + 0.69%, 04/22/2025(a) | 4,000,000 | 4,036,093 | ||||||
3M BSBY + 0.43%, 05/28/2024(a) | 3,000,000 | 3,004,500 | ||||||
3M US L + 1.021%, 04/24/2023(a) | 1,550,000 | 1,578,344 | ||||||
Barclays PLC | ||||||||
1Y US TI + 0.80%, 12/10/2024(a) | 3,000,000 | 3,012,786 | ||||||
Citigroup, Inc. | ||||||||
4.30%, 11/20/2026 | 3,268,000 | 3,724,396 | ||||||
1D US SOFR + 0.669%, 05/01/2025(a) | 3,000,000 | 3,017,198 | ||||||
HSBC Holdings PLC | ||||||||
1D US SOFR + 0.7075%, 05/24/2025(a) | 4,000,000 | 4,011,703 |
Principal Amount | Value (Note 2) | |||||||
JPMorgan Chase & Co. | ||||||||
1D US SOFR + 0.535%, 06/01/2025(a) | $ | 2,000,000 | $ | 2,004,786 | ||||
1D US SOFR + 0.60%, 09/16/2024(a) | 2,500,000 | 2,508,318 | ||||||
1D US SOFR + 1.46%, 06/01/2024(a) | 1,500,000 | 1,529,635 | ||||||
Series FRN | ||||||||
1D US SOFR + 0.58%, 06/23/2025(a) | 2,000,000 | 2,005,609 | ||||||
Mizuho Financial Group, Inc. | ||||||||
0.87% - 1D US SOFR, 09/08/2024(a) | 1,000,000 | 1,006,333 | ||||||
1.25% - 1D US SOFR, 07/10/2024(a) | 1,000,000 | 1,013,248 | ||||||
Natwest Group PLC | ||||||||
6.10%, 06/10/2023 | 200,000 | 218,915 | ||||||
1Y US TI + 2.15%, 05/22/2024(a) | 1,000,000 | 1,029,472 | ||||||
Total Diversified Banks | 34,704,861 | |||||||
Electrical Equipment Manufacturing (0.22%) | ||||||||
Otis Worldwide Corp. | ||||||||
3M US L + 0.45%, 04/05/2023(a) | 100,000 | 100,007 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
0.40%, 03/11/2023(d) | 1,000,000 | 1,002,384 | ||||||
Total Electrical Equipment Manufacturing | 1,102,391 | |||||||
Entertainment Content (0.05%) | ||||||||
Fox Corp. | ||||||||
3.67%, 01/25/2022 | 250,000 | 254,080 | ||||||
Exploration & Production (0.80%) | ||||||||
Diamondback Energy, Inc. | ||||||||
0.90%, 03/24/2023 | 3,000,000 | 3,000,459 | ||||||
Pioneer Natural Resources Co. | ||||||||
0.55%, 05/15/2023 | 1,000,000 | 1,001,475 | ||||||
Total Exploration & Production | 4,001,934 | |||||||
Financial Services (8.29%) | ||||||||
Ameriprise Financial, Inc. | ||||||||
3.00%, 03/22/2022 | 250,000 | 254,493 | ||||||
Credit Suisse Group AG | ||||||||
3.57%, 01/09/2023(d) | 4,038,000 | 4,094,018 | ||||||
1D US SOFR + 2.044%, 06/05/2026(a)(d) | 4,000,000 | 4,120,562 | ||||||
Goldman Sachs Group, Inc. | ||||||||
0.52%, 03/08/2023 | 2,000,000 | 2,001,815 | ||||||
1D US SOFR + 0.50%, 09/10/2024(a) | 2,500,000 | 2,501,724 | ||||||
3M US L + 1.053%, 06/05/2023(a) | 800,000 | 816,901 | ||||||
Series VAR | ||||||||
1D US SOFR + 0.538%, 11/17/2023(a) | 1,865,000 | 1,866,086 | ||||||
Series FXD | ||||||||
0.48%, 01/27/2023 | 3,000,000 | 3,001,851 |
Principal Amount | Value (Note 2) | |||||||
Intercontinental Exchange, Inc. | ||||||||
0.70%, 06/15/2023 | $ | 1,350,000 | $ | 1,358,200 | ||||
Series FRN | ||||||||
3M US L + 0.65%, 06/15/2023(a) | 1,350,000 | 1,350,528 | ||||||
Morgan Stanley | ||||||||
4.88%, 11/01/2022 | 500,000 | 527,520 | ||||||
1D US SOFR + 0.525%, 05/30/2025(a) | 3,000,000 | 2,996,697 | ||||||
1D US SOFR + 0.616%, 04/05/2024(a) | 2,000,000 | 2,007,133 | ||||||
Series GMTN | ||||||||
1D US SOFR + 0.509%, 01/22/2025(a) | 5,000,000 | 5,009,884 | ||||||
Nasdaq, Inc. | ||||||||
0.45%, 12/21/2022 | 2,000,000 | 2,001,065 | ||||||
National Securities Clearing Corp. | ||||||||
0.40%, 12/07/2023(d) | 1,980,000 | 1,984,173 | ||||||
TD Ameritrade Holding Corp. | ||||||||
3M US L + 0.43%, 11/01/2021(a) | 200,000 | 200,146 | ||||||
UBS AG/London | ||||||||
1.75%, 04/21/2022(d) | 700,000 | 707,036 | ||||||
1D US SOFR + 0.32%, 06/01/2023(a)(d) | 1,000,000 | 1,003,221 | ||||||
UBS Group AG | ||||||||
1Y US TI + 0.83%, 07/30/2024(a)(d) | 1,000,000 | 1,007,712 | ||||||
USAA Capital Corp. | ||||||||
0.50%, 05/01/2024(d) | 2,000,000 | 2,002,252 | ||||||
1.50%, 05/01/2023(d) | 500,000 | 510,774 | ||||||
Total Financial Services | 41,323,791 | |||||||
Food & Beverage (0.96%) | ||||||||
Hormel Foods Corp. | ||||||||
0.65%, 06/03/2024 | 2,000,000 | 2,006,864 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
0.75%, 03/15/2024 | 1,000,000 | 1,001,589 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.63%, 11/01/2024(d) | 1,723,000 | 1,770,305 | ||||||
Total Food & Beverage | 4,778,758 | |||||||
Forest & Paper Products Manufacturing (0.35%) | ||||||||
Georgia-Pacific LLC | ||||||||
0.63%, 05/15/2024(d) | 1,750,000 | 1,755,662 | ||||||
Hardware (0.21%) | ||||||||
Dell International LLC / EMC Corp. | ||||||||
7.13%, 06/15/2024(d) | 1,000,000 | 1,024,395 | ||||||
Health Care Facilities & Services (3.34%) | ||||||||
AmerisourceBergen Corp. | ||||||||
0.74%, 03/15/2023 | 2,000,000 | 2,003,909 | ||||||
Cigna Corp. | ||||||||
0.61%, 03/15/2024 | 2,000,000 | 2,001,152 |
Principal Amount | Value (Note 2) | |||||||
HCA, Inc. | ||||||||
4.75%, 05/01/2023 | $ | 2,387,000 | $ | 2,555,104 | ||||
5.00%, 03/15/2024 | 500,000 | 553,353 | ||||||
Series 1 | ||||||||
5.88%, 05/01/2023 | 1,000,000 | 1,083,815 | ||||||
Indigo Merger Sub, Inc. | ||||||||
2.88%, 07/15/2026(d) | 2,950,000 | 3,020,401 | ||||||
Jaguar Holding Co. II / PPD Development LP | ||||||||
4.63%, 06/15/2025(d) | 5,170,000 | 5,419,737 | ||||||
Total Health Care Facilities & Services | 16,637,471 | |||||||
Homebuilders (0.37%) | ||||||||
Forestar Group, Inc. | ||||||||
3.85%, 05/15/2026(d) | 1,835,000 | 1,859,259 | ||||||
Industrial Other (0.50%) | ||||||||
Element Fleet Management Corp. | ||||||||
1.60%, 04/06/2024(d) | 1,470,000 | 1,496,093 | ||||||
Honeywell International, Inc. | ||||||||
3M US L + 0.23%, 08/19/2022(a) | 1,000,000 | 1,000,162 | ||||||
Total Industrial Other | 2,496,255 | |||||||
Leisure Products Manufacturing (0.41%) | ||||||||
Mattel, Inc. | ||||||||
3.15%, 03/15/2023 | 2,000,000 | 2,047,660 | ||||||
Life Insurance (0.20%) | ||||||||
Security Benefit Global Funding | ||||||||
1.25%, 05/17/2024(d) | 1,000,000 | 1,003,799 | ||||||
Machinery Manufacturing (0.41%) | ||||||||
Weir Group PLC | ||||||||
2.20%, 05/13/2026(d) | 2,000,000 | 2,023,676 | ||||||
Managed Care (0.80%) | ||||||||
Anthem, Inc. | ||||||||
0.45%, 03/15/2023 | 1,000,000 | 1,001,477 | ||||||
Humana, Inc. | ||||||||
0.65%, 08/03/2023 | 2,000,000 | 2,000,461 | ||||||
UnitedHealth Group, Inc. | ||||||||
0.55%, 05/15/2024 | 1,000,000 | 1,001,746 | ||||||
Total Managed Care | 4,003,684 | |||||||
Medical Equipment & Devices Manufacturing (0.86%) | ||||||||
Illumina, Inc. | ||||||||
0.55%, 03/23/2023 | 2,000,000 | 2,003,875 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.38%, 11/30/2021 | 2,300,000 | 2,305,373 | ||||||
Total Medical Equipment & Devices Manufacturing | 4,309,248 | |||||||
Metals & Mining (1.17%) | ||||||||
Steel Dynamics, Inc. | ||||||||
5.00%, 12/15/2026 | 5,592,000 | 5,828,769 |
Principal Amount | Value (Note 2) | |||||||
Pharmaceuticals (4.45%) | ||||||||
AbbVie, Inc. | ||||||||
2.15%, 11/19/2021 | $ | 500,000 | $ | 502,949 | ||||
2.30%, 11/21/2022 | 1,286,000 | 1,318,810 | ||||||
2.60%, 11/21/2024 | 1,000,000 | 1,058,650 | ||||||
Astrazeneca Finance LLC | ||||||||
0.70%, 05/28/2024 | 2,500,000 | 2,504,355 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.13%, 04/15/2025(d) | 5,262,000 | 5,377,106 | ||||||
Elanco Animal Health, Inc. | ||||||||
4.91%, 08/27/2021 | 4,068,000 | 4,088,686 | ||||||
Viatris, Inc. | ||||||||
1.13%, 06/22/2022(d) | 5,635,000 | 5,669,096 | ||||||
Zoetis, Inc. | ||||||||
3.25%, 08/20/2021 | 1,655,000 | 1,657,254 | ||||||
Total Pharmaceuticals | 22,176,906 | |||||||
Pipeline (3.93%) | ||||||||
Buckeye Partners LP | ||||||||
4.15%, 07/01/2023 | 2,897,000 | 3,002,016 | ||||||
4.35%, 10/15/2024 | 750,000 | 787,969 | ||||||
Energy Transfer LP | ||||||||
3.45%, 01/15/2023 | 1,500,000 | 1,549,749 | ||||||
4.50%, 04/15/2024 | 900,000 | 980,033 | ||||||
5.20%, 02/01/2022 | 1,524,000 | 1,541,471 | ||||||
Energy Transfer LP / Regency Energy Finance Corp. | ||||||||
5.88%, 03/01/2022 | 1,390,000 | 1,414,342 | ||||||
Gray Oak Pipeline LLC | ||||||||
2.00%, 09/15/2023(d) | 1,749,000 | 1,786,069 | ||||||
Midwest Connector Capital Co. LLC | ||||||||
3.63%, 04/01/2022(d) | 5,500,000 | 5,582,931 | ||||||
3.90%, 04/01/2024(d) | 775,000 | 812,503 | ||||||
Western Midstream Operating LP | ||||||||
4.35%, 02/01/2025 | 250,000 | 262,210 | ||||||
3M US L + 2.10%, 01/13/2023(a) | 1,849,000 | 1,839,357 | ||||||
Total Pipeline | 19,558,650 | |||||||
Power Generation (0.79%) | ||||||||
Alexander Funding Trust | ||||||||
1.84%, 11/15/2023(d) | 3,369,000 | 3,428,265 | ||||||
NRG Energy, Inc. | ||||||||
2.00%, 12/02/2025(d) | 500,000 | 514,883 | ||||||
Total Power Generation | 3,943,148 | |||||||
Real Estate (0.67%) | ||||||||
GLP Capital LP / GLP Financing II, Inc. | ||||||||
5.38%, 11/01/2023 | 1,220,000 | 1,334,485 | ||||||
Public Storage | ||||||||
1D US SOFR + 0.47%, 04/23/2024(a) | 2,000,000 | 2,003,283 | ||||||
Total Real Estate | 3,337,768 | |||||||
Refining & Marketing (1.92%) | ||||||||
HollyFrontier Corp. | ||||||||
2.63%, 10/01/2023 | 3,009,000 | 3,114,503 |
Principal Amount | Value (Note 2) | |||||||
Phillips 66 | ||||||||
3M US L + 0.62%, 02/15/2024(a) | $ | 1,865,000 | $ | 1,866,831 | ||||
Valero Energy Corp. | ||||||||
3M US L + 1.15%, 09/15/2023(a) | 4,594,000 | 4,599,257 | ||||||
Total Refining & Marketing | 9,580,591 | |||||||
Restaurants (0.27%) | ||||||||
Yum! Brands, Inc. | ||||||||
7.75%, 04/01/2025(d) | 1,250,000 | 1,355,763 | ||||||
Retail - Consumer Discretionary (1.61%) | ||||||||
Gap, Inc. | ||||||||
8.63%, 05/15/2025(d) | 6,147,000 | 6,738,279 | ||||||
QVC, Inc. | ||||||||
4.38%, 03/15/2023 | 1,250,000 | 1,315,369 | ||||||
Total Retail - Consumer Discretionary | 8,053,648 | |||||||
Semiconductors (1.03%) | ||||||||
Marvell Technology, Inc. | ||||||||
4.20%, 06/22/2023(d) | 2,000,000 | 2,122,898 | ||||||
Microchip Technology, Inc. | ||||||||
0.97%, 02/15/2024(d) | 1,000,000 | 1,002,280 | ||||||
Skyworks Solutions, Inc. | ||||||||
0.90%, 06/01/2023 | 2,000,000 | 2,007,846 | ||||||
Total Semiconductors | 5,133,024 | |||||||
Software & Services (2.13%) | ||||||||
Intuit, Inc. | ||||||||
0.65%, 07/15/2023 | 1,000,000 | 1,006,624 | ||||||
Nielsen Co. Luxembourg SARL | ||||||||
5.00%, 02/01/2025(d) | 2,185,000 | 2,246,551 | ||||||
Roper Technologies, Inc. | ||||||||
0.45%, 08/15/2022 | 1,365,000 | 1,366,724 | ||||||
salesforce.com, Inc. | ||||||||
0.63%, 07/15/2024 | 1,000,000 | 1,002,838 | ||||||
VMware, Inc. | ||||||||
0.60%, 08/15/2023 | 2,000,000 | 2,004,164 | ||||||
1.00%, 08/15/2024 | 3,000,000 | 3,010,056 | ||||||
Total Software & Services | 10,636,957 | |||||||
Supermarkets & Pharmacies (1.06%) | ||||||||
7-Eleven, Inc. | ||||||||
0.63%, 02/10/2023(d) | 500,000 | 500,334 | ||||||
0.80%, 02/10/2024(d) | 2,000,000 | 2,000,532 | ||||||
3M US L + 0.45%, 08/10/2022(a)(d) | 1,500,000 | 1,500,383 | ||||||
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC | ||||||||
3.50%, 02/15/2023(d) | 1,271,000 | 1,304,726 | ||||||
Total Supermarkets & Pharmacies | 5,305,975 | |||||||
Transportation & Logistics (0.40%) | ||||||||
PACCAR Financial Corp. | ||||||||
0.35%, 08/11/2023 | 1,000,000 | 1,002,096 | ||||||
0.80%, 06/08/2023 | 1,000,000 | 1,009,005 | ||||||
Total Transportation & Logistics | 2,011,101 |
Principal Amount | Value (Note 2) | |||||||
Utilities (4.48%) | ||||||||
Atmos Energy Corp. | ||||||||
3M US L + 0.38%, 03/09/2023(a) | $ | 1,795,000 | $ | 1,795,507 | ||||
CenterPoint Energy Resources Corp. | ||||||||
0.70%, 03/02/2023 | 500,000 | 500,147 | ||||||
Dominion Energy, Inc. | ||||||||
2.72%, 08/15/2021(c) | 2,028,000 | 2,028,892 | ||||||
Duke Energy Progress LLC | ||||||||
Series A | ||||||||
3M US L + 0.18%, 02/18/2022(a) | 500,000 | 500,011 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/2022 | 435,000 | 445,301 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
0.65%, 03/01/2023 | 5,000,000 | 5,019,171 | ||||||
ONE Gas, Inc. | ||||||||
0.85%, 03/11/2023 | 3,000,000 | 3,000,962 | ||||||
1.10%, 03/11/2024 | 1,000,000 | 1,000,318 | ||||||
Pacific Gas and Electric Co. | ||||||||
1.37%, 03/10/2023 | 1,000,000 | 999,488 | ||||||
3M US L + 1.38%, 11/15/2021(a) | 4,040,000 | 4,044,587 | ||||||
WEC Energy Group, Inc. | ||||||||
0.80%, 03/15/2024 | 3,000,000 | 3,018,418 | ||||||
Total Utilities | 22,352,802 | |||||||
Waste & Environment Services & Equipment (0.15%) | ||||||||
GFL Environmental, Inc. | ||||||||
4.25%, 06/01/2025(d) | 700,000 | 728,000 | ||||||
Wireless Telecommunications Services (0.91%) | ||||||||
AT&T, Inc. | ||||||||
0.90%, 03/25/2024 | 2,000,000 | 2,005,710 | ||||||
Sprint Corp. | ||||||||
7.88%, 09/15/2023 | 2,239,000 | 2,536,003 | ||||||
Total Wireless Telecommunications Services | 4,541,713 | |||||||
Wireline Telecommunications Services (0.40%) | ||||||||
NTT Finance Corp. | ||||||||
0.37%, 03/03/2023(d) | 2,000,000 | 2,001,607 | ||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $390,038,871) | 392,328,547 |
Principal Amount | Value (Note 2) | |||||||
GOVERNMENT BONDS (18.42%) | ||||||||
U.S. Treasury Bonds (18.42%) | ||||||||
United States Treasury Notes | ||||||||
0.13%, 12/31/2022 | $ | 4,663,000 | $ | 4,663,546 | ||||
0.13%, 01/31/2023 | 9,634,000 | 9,634,000 | ||||||
0.13%, 02/28/2023 | 11,032,000 | 11,031,138 | ||||||
0.13%, 03/31/2023 | 12,106,000 | 12,102,217 | ||||||
0.13%, 04/30/2023 | 1,076,000 | 1,075,475 | ||||||
0.13%, 05/31/2023 | 7,012,000 | 7,007,618 | ||||||
0.13%, 06/30/2023 | 14,456,000 | 14,446,117 | ||||||
0.25%, 06/15/2023 | 13,670,000 | 13,692,427 | ||||||
0.25%, 05/15/2024 | 4,576,000 | 4,568,135 | ||||||
0.25%, 06/15/2024 | 4,786,000 | 4,775,905 | ||||||
0.38%, 04/15/2024 | 3,855,000 | 3,863,132 | ||||||
0.38%, 07/15/2024 | 2,477,000 | 2,479,419 | ||||||
0.63%, 07/31/2026 | 2,488,000 | 2,479,350 | ||||||
Total U.S. Treasury Bonds | 91,818,479 | |||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $91,709,308) | 91,818,479 | |||||||
MUNICIPAL BONDS (0.03%) | ||||||||
New York State Urban Development Corp. | ||||||||
2.10%, 03/15/2022 | 150,000 | 151,577 | ||||||
TOTAL MUNICIPAL BONDS | ||||||||
(Cost $151,553) | 151,577 |
7-Day Yield | Shares | Value (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (0.80%) | ||||||||||||
Money Market Fund (0.80%) | ||||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 0.030 | % | 3,988,837 | 3,988,837 | ||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $3,988,837) | 3,988,837 | |||||||||||
TOTAL INVESTMENTS (101.32%) | ||||||||||||
(Cost $502,648,890) | $ | 505,144,592 | ||||||||||
Liabilities In Excess Of Other Assets (-1.32%) | (6,556,595 | ) | ||||||||||
NET ASSETS (100.00%) | $ | 498,587,997 |
Investment Abbreviations:
BSBY - Bloomberg Short-Term Bank Yield
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TI – Treasury Index
Reference Rates:
1M US L - 1 Month LIBOR as of July 31, 2021 was 0.09%
3M US L - 3 Month LIBOR as of July 31, 2021 was 0.12%
3M BSBY – 3 Month BSBY as of July 31, 2021 was 0.10%
1D US SOFR - 1 Day SOFR as of July 31, 2021 was 0.05%
1Y US TI - 1 Year US Treasury Index as of July 31, 2021 was 0.07%
10Y US TI - 10 Year US Treasury Index as of July 31, 2021 was 1.24%
(a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of July 31, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date. |
(b) | Issued with zero coupon. |
(c) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of July 31, 2021. |
(d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of July 31, 2021, the aggregate market value of those securities was $127,248,395, representing 25.52% of net assets. |
See notes to quarterly statement of investments.
ALPS | Smith Total Return Bond Fund
STATEMENT OF INVESTMENTS
July 31, 2021 (Unaudited)
Principal Amount | Value (Note 2) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (7.56%) | ||||||||
Fannie Mae | ||||||||
Series 1993-31, Class PN, | ||||||||
7.000%, 09/25/2023 | $ | 148,263 | $ | 155,136 | ||||
Series 1997-22, Class F, | ||||||||
0.646%, 03/25/2027(a) | 16,707 | 16,728 | ||||||
Series 1997-76, Class FO, | ||||||||
1M US L + 0.50%, 09/17/2027(a) | 21,091 | 21,159 | ||||||
Series 1999-58, Class F, | ||||||||
1M US L + 0.40%, 11/18/2029(a) | 59,122 | 59,302 | ||||||
Series 2000-40, Class FA, | ||||||||
1M US L + 0.50%, 07/25/2030(a) | 20,094 | 19,981 | ||||||
Series 2000-45, Class F, | ||||||||
1M US L + 0.45%, 12/25/2030(a) | 23,004 | 23,112 | ||||||
Series 2001-27, Class F, | ||||||||
1M US L + 0.50%, 06/25/2031(a) | 16,351 | 16,432 | ||||||
Series 2001-29, Class Z, | ||||||||
6.500%, 07/25/2031 | 64,658 | 74,662 | ||||||
Series 2001-51, Class OD, | ||||||||
6.500%, 10/25/2031 | 45,346 | 48,046 | ||||||
Series 2001-52, Class XZ, | ||||||||
6.500%, 10/25/2031 | 35,677 | 41,915 | ||||||
Series 2001-59, Class F, | ||||||||
1M US L + 0.60%, 11/25/2031(a) | 139,393 | 141,069 | ||||||
Series 2001-60, Class OF, | ||||||||
1M US L + 0.95%, 10/25/2031(a) | 16,460 | 16,858 | ||||||
Series 2001-63, Class FD, | ||||||||
1M US L + 0.60%, 12/18/2031(a) | 19,077 | 19,230 | ||||||
Series 2001-63, Class TC, | ||||||||
6.000%, 12/25/2031 | 26,395 | 30,436 | ||||||
Series 2001-68, Class PH, | ||||||||
6.000%, 12/25/2031 | 23,059 | 26,523 | ||||||
Series 2001-71, Class FE, | ||||||||
1M US L + 0.65%, 11/25/2031(a) | 94,719 | 95,926 | ||||||
Series 2001-71, Class FS, | ||||||||
1M US L + 0.60%, 11/25/2031(a) | 77,461 | 76,694 |
Principal Amount | Value (Note 2) | |||||||
Series 2001-81, Class GE, | ||||||||
6.000%, 01/25/2032 | $ | 19,104 | $ | 22,079 | ||||
Series 2002-11, Class JF, | ||||||||
1M US L + 0.73%, 03/25/2032(a) | 59,940 | 60,877 | ||||||
Series 2002-12, Class FH, | ||||||||
1M US L + 1.05%, 01/25/2032(a) | 66,798 | 68,400 | ||||||
Series 2002-13, Class FE, | ||||||||
1M US L + 0.90%, 03/25/2032(a) | 68,342 | 69,505 | ||||||
Series 2002-16, Class TM, | ||||||||
7.000%, 04/25/2032 | 16,549 | 19,477 | ||||||
Series 2002-17, Class JF, | ||||||||
1M US L + 1.00%, 04/25/2032(a) | 36,118 | 36,957 | ||||||
Series 2002-18, Class FD, | ||||||||
1M US L + 0.80%, 02/25/2032(a) | 62,823 | 64,014 | ||||||
Series 2002-23, Class FA, | ||||||||
1M US L + 0.90%, 04/25/2032(a) | 55,012 | 56,335 | ||||||
Series 2002-34, Class EO, | ||||||||
–%, 05/18/2032(b) | 66,441 | 64,700 | ||||||
Series 2002-36, Class FS, | ||||||||
1M US L + 0.50%, 06/25/2032(a) | 50,039 | 50,216 | ||||||
Series 2002-44, Class FJ, | ||||||||
1M US L + 1.00%, 04/25/2032(a) | 95,912 | 98,157 | ||||||
Series 2002-47, Class FC, | ||||||||
1M US L + 0.60%, 11/25/2031(a) | 18,475 | 18,658 | ||||||
Series 2002-48, Class F, | ||||||||
1M US L + 1.00%, 07/25/2032(a) | 60,406 | 61,830 | ||||||
Series 2002-49, Class FC, | ||||||||
1M US L + 1.00%, 11/18/2031(a) | 38,268 | 39,180 | ||||||
Series 2002-60, Class FV, | ||||||||
1M US L + 1.00%, 04/25/2032(a) | 134,064 | 137,215 | ||||||
Series 2002-63, Class EZ, | ||||||||
6.000%, 10/25/2032 | 10,983 | 12,969 | ||||||
Series 2002-68, Class AF, | ||||||||
1M US L + 1.00%, 10/25/2032(a) | 26,613 | 27,241 | ||||||
Series 2002-7, Class FC, | ||||||||
1M US L + 0.75%, 01/25/2032(a) | 77,306 | 78,621 | ||||||
Series 2002-71, Class AQ, | ||||||||
4.000%, 11/25/2032 | 70,088 | 75,496 |
Principal Amount | Value (Note 2) | |||||||
Series 2002-8, Class FA, | ||||||||
1M US L + 0.75%, 03/18/2032(a) | $ | 23,796 | $ | 24,269 | ||||
Series 2002-80, Class CZ, | ||||||||
4.500%, 09/25/2032 | 92,856 | 110,298 | ||||||
Series 2002-9, Class FW, | ||||||||
1M US L + 0.55%, 03/25/2032(a) | 19,031 | 18,991 | ||||||
Series 2002-91, Class F, | ||||||||
1M US L + 0.55%, 01/25/2033(a) | 28,419 | 28,678 | ||||||
Series 2003-107, Class FD, | ||||||||
1M US L + 0.50%, 11/25/2033(a) | 17,819 | 17,969 | ||||||
Series 2003-110, Class CK, | ||||||||
3.000%, 11/25/2033 | 33,465 | 35,453 | ||||||
Series 2003-116, Class FA, | ||||||||
1M US L + 0.40%, 11/25/2033(a) | 38,628 | 38,840 | ||||||
Series 2003-119, Class ZP, | ||||||||
4.000%, 12/25/2033 | 60,745 | 66,769 | ||||||
Series 2003-119, Class FH, | ||||||||
1M US L + 0.50%, 12/25/2033(a) | 47,035 | 47,680 | ||||||
Series 2003-128, Class MF, | ||||||||
1M US L + 0.60%, 01/25/2034(a) | 74,279 | 75,389 | ||||||
Series 2003-131, Class CH, | ||||||||
5.500%, 01/25/2034 | 105,451 | 120,823 | ||||||
Series 2003-134, Class FC, | ||||||||
1M US L + 0.60%, 12/25/2032(a) | 41,464 | 42,168 | ||||||
Series 2003-14, Class AP, | ||||||||
4.000%, 03/25/2033 | 141,017 | 146,960 | ||||||
Series 2003-14, Class AN, | ||||||||
3.500%, 03/25/2033 | 94,011 | 97,975 | ||||||
Series 2003-19, Class MB, | ||||||||
4.000%, 05/25/2031 | 50,941 | 55,939 | ||||||
Series 2003-21, Class OG, | ||||||||
4.000%, 01/25/2033 | 46,194 | 49,424 | ||||||
Series 2003-22, Class BZ, | ||||||||
6.000%, 04/25/2033 | 27,859 | 32,093 | ||||||
Series 2003-27, Class EK, | ||||||||
5.000%, 04/25/2033 | 37,287 | 42,949 | ||||||
Series 2003-30, Class JQ, | ||||||||
5.500%, 04/25/2033 | 37,103 | 42,347 | ||||||
Series 2003-32, Class UJ, | ||||||||
5.500%, 05/25/2033 | 54,669 | 61,837 | ||||||
Series 2003-41, Class OZ, | ||||||||
3.750%, 05/25/2033 | 123,776 | 135,802 |
Principal Amount | Value (Note 2) | |||||||
Series 2003-42, Class JH, | ||||||||
5.500%, 05/25/2033 | $ | 101,751 | $ | 114,286 | ||||
Series 2003-46, Class PJ, | ||||||||
5.500%, 06/25/2033 | 47,073 | 54,194 | ||||||
Series 2003-47, Class PE, | ||||||||
5.750%, 06/25/2033 | 57,686 | 66,194 | ||||||
Series 2003-64, Class ZC, | ||||||||
5.000%, 07/25/2033 | 40,367 | 45,753 | ||||||
Series 2003-64, Class JK, | ||||||||
3.500%, 07/25/2033 | 68,426 | 74,915 | ||||||
Series 2003-71, Class HD, | ||||||||
5.500%, 08/25/2033 | 218,095 | 245,499 | ||||||
Series 2003-76, Class EZ, | ||||||||
5.000%, 08/25/2033 | 184,509 | 208,997 | ||||||
Series 2003-94, Class CE, | ||||||||
5.000%, 10/25/2033 | 16,042 | 17,359 | ||||||
Series 2004-101, Class TB, | ||||||||
5.500%, 01/25/2035 | 157,391 | 181,716 | ||||||
Series 2004-14, Class QB, | ||||||||
5.250%, 03/25/2034 | 192,000 | 221,546 | ||||||
Series 2004-17, Class DZ, | ||||||||
5.500%, 04/25/2034 | 35,443 | 39,332 | ||||||
Series 2004-17, Class BA, | ||||||||
6.000%, 04/25/2034 | 118,388 | 150,164 | ||||||
Series 2004-26, Class CG, | ||||||||
4.500%, 08/25/2033 | 15,616 | 16,119 | ||||||
Series 2004-36, Class CB, | ||||||||
5.000%, 05/25/2034 | 144,483 | 162,335 | ||||||
Series 2004-36, Class FA, | ||||||||
1M US L + 0.40%, 05/25/2034(a) | 39,778 | 39,997 | ||||||
Series 2004-53, Class FC, | ||||||||
1M US L + 0.45%, 07/25/2034(a) | 248,816 | 250,388 | ||||||
Series 2004-54, Class FL, | ||||||||
1M US L + 0.40%, 07/25/2034(a) | 178,702 | 180,273 | ||||||
Series 2004-60, Class AC, | ||||||||
5.500%, 04/25/2034 | 108,000 | 122,209 | ||||||
Series 2004-68, Class LC, | ||||||||
5.000%, 09/25/2029 | 56,247 | 62,767 | ||||||
Series 2004-77, Class AY, | ||||||||
4.500%, 10/25/2034 | 24,078 | 26,936 | ||||||
Series 2004-82, Class HK, | ||||||||
5.500%, 11/25/2034 | 68,154 | 79,301 | ||||||
Series 2004-92, Class TB, | ||||||||
5.500%, 12/25/2034 | 109,926 | 126,420 | ||||||
Series 2005-110, Class MP, | ||||||||
5.500%, 12/25/2035 | 32,200 | 36,137 |
Principal Amount | Value (Note 2) | |||||||
Series 2005-120, Class FE, | ||||||||
1M US L + 0.52%, 01/25/2036(a) | $ | 31,166 | $ | 31,677 | ||||
Series 2005-122, Class PY, | ||||||||
6.000%, 01/25/2036 | 324,000 | 382,971 | ||||||
Series 2005-17, Class EX, | ||||||||
5.250%, 03/25/2035 | 25,000 | 29,138 | ||||||
Series 2005-17, Class EZ, | ||||||||
4.500%, 03/25/2035 | 146,330 | 156,366 | ||||||
Series 2005-22, Class DA, | ||||||||
5.500%, 12/25/2034 | 2,729 | 2,739 | ||||||
Series 2005-29, Class ZA, | ||||||||
5.500%, 04/25/2035 | 86,673 | 99,938 | ||||||
Series 2005-3, Class CP, | ||||||||
5.500%, 10/25/2034 | 91 | 91 | ||||||
Series 2005-3, Class CH, | ||||||||
5.250%, 02/25/2035 | 98,591 | 112,170 | ||||||
Series 2005-35, Class DZ, | ||||||||
5.000%, 04/25/2035 | 194,305 | 220,376 | ||||||
Series 2005-48, Class TD, | ||||||||
5.500%, 06/25/2035 | 161,079 | 186,713 | ||||||
Series 2005-59, Class DF, | ||||||||
1M US L + 0.20%, 05/25/2035(a) | 3,558 | 3,565 | ||||||
Series 2005-62, Class GZ, | ||||||||
5.750%, 07/25/2035 | 488,885 | 582,561 | ||||||
Series 2005-62, Class JC, | ||||||||
5.000%, 05/25/2035 | 7,220 | 7,417 | ||||||
Series 2005-62, Class ZD, | ||||||||
5.000%, 06/25/2035 | 111,555 | 118,261 | ||||||
Series 2005-62, Class JE, | ||||||||
5.000%, 06/25/2035 | 66,324 | 68,266 | ||||||
Series 2005-64, Class PL, | ||||||||
5.500%, 07/25/2035 | 124,150 | 140,465 | ||||||
Series 2005-68, Class CZ, | ||||||||
5.500%, 08/25/2035 | 446,663 | 510,269 | ||||||
Series 2005-68, Class BE, | ||||||||
5.250%, 08/25/2035 | 97,000 | 110,962 | ||||||
Series 2005-68, Class PG, | ||||||||
5.500%, 08/25/2035 | 44,067 | 50,313 | ||||||
Series 2005-69, Class GZ, | ||||||||
4.500%, 08/25/2035 | 59,887 | 62,866 | ||||||
Series 2005-7, Class MZ, | ||||||||
4.750%, 02/25/2035 | 87,768 | 93,898 | ||||||
Series 2005-70, Class NA, | ||||||||
5.500%, 08/25/2035 | 18,199 | 20,768 | ||||||
Series 2005-70, Class KP, | ||||||||
5.000%, 06/25/2035 | 68,438 | 78,896 | ||||||
Series 2005-72, Class FB, | ||||||||
1M US L + 0.25%, 08/25/2035(a) | 24,112 | 24,057 |
Principal Amount | Value (Note 2) | |||||||
Series 2005-79, Class DB, | ||||||||
5.500%, 09/25/2035 | $ | 101,122 | $ | 114,201 | ||||
Series 2005-83, Class QP, | ||||||||
17.394% - 1M US L%, 11/25/2034(a) | 281,786 | 326,343 | ||||||
Series 2005-84, Class XM, | ||||||||
5.750%, 10/25/2035 | 76,636 | 86,891 | ||||||
Series 2005-89, Class F, | ||||||||
1M US L + 0.30%, 10/25/2035(a) | 30,728 | 30,969 | ||||||
Series 2005-99, Class FA, | ||||||||
1M US L + 0.30%, 11/25/2035(a) | 46,275 | 46,398 | ||||||
Series 2005-99, Class ZA, | ||||||||
5.500%, 12/25/2035 | 106,310 | 141,877 | ||||||
Series 2006-112, Class QC, | ||||||||
5.500%, 11/25/2036 | 28,456 | 33,321 | ||||||
Series 2006-114, Class HE, | ||||||||
5.500%, 12/25/2036 | 126,658 | 148,026 | ||||||
Series 2006-115, Class EF, | ||||||||
1M US L + 0.36%, 12/25/2036(a) | 22,100 | 22,307 | ||||||
Series 2006-16, Class HZ, | ||||||||
5.500%, 03/25/2036 | 475,786 | 548,783 | ||||||
Series 2006-39, Class EF, | ||||||||
1M US L + 0.40%, 05/25/2036(a) | 21,858 | 22,015 | ||||||
Series 2006-46, Class UD, | ||||||||
5.500%, 06/25/2036 | 33,000 | 39,995 | ||||||
Series 2006-48, Class TF, | ||||||||
1M US L + 0.40%, 06/25/2036(a) | 50,327 | 50,842 | ||||||
Series 2006-48, Class DZ, | ||||||||
6.000%, 06/25/2036 | 79,318 | 117,517 | ||||||
Series 2006-56, Class F, | ||||||||
1M US L + 0.30%, 07/25/2036(a) | 17,572 | 17,655 | ||||||
Series 2006-63, Class QH, | ||||||||
5.500%, 07/25/2036 | 41,953 | 48,064 | ||||||
Series 2006-71, Class ZH, | ||||||||
6.000%, 07/25/2036 | 59,542 | 70,529 | ||||||
Series 2006-95, Class FH, | ||||||||
1M US L + 0.45%, 10/25/2036(a) | 39,274 | 39,795 | ||||||
Series 2007-100, Class YF, | ||||||||
1M US L + 0.55%, 10/25/2037(a) | 22,053 | 22,490 | ||||||
Series 2007-109, Class GF, | ||||||||
1M US L + 0.68%, 12/25/2037(a) | 69,204 | 70,924 |
Principal Amount | Value (Note 2) | |||||||
Series 2007-111, Class FC, | ||||||||
1M US L + 0.60%, 12/25/2037(a) | $ | 46,034 | $ | 46,808 | ||||
Series 2007-117, Class FM, | ||||||||
1M US L + 0.70%, 01/25/2038(a) | 68,727 | 70,501 | ||||||
Series 2007-12, Class ZA, | ||||||||
6.000%, 03/25/2037 | 143,774 | 179,972 | ||||||
Series 2007-14, Class GZ, | ||||||||
5.500%, 03/25/2037 | 368,465 | 429,689 | ||||||
Series 2007-30, Class MB, | ||||||||
4.250%, 04/25/2037 | 92,030 | 97,905 | ||||||
Series 2007-33, Class HE, | ||||||||
5.500%, 04/25/2037 | 57,594 | 67,033 | ||||||
Series 2007-34, Class F, | ||||||||
1M US L + 0.39%, 04/25/2037(a) | 37,362 | 37,744 | ||||||
Series 2007-41, Class FA, | ||||||||
1M US L + 0.40%, 05/25/2037(a) | 31,413 | 31,694 | ||||||
Series 2007-51, Class CP, | ||||||||
5.500%, 06/25/2037 | 37,908 | 43,735 | ||||||
Series 2007-51, Class PB, | ||||||||
5.500%, 06/25/2037 | 32,000 | 36,380 | ||||||
Series 2007-55, Class PH, | ||||||||
6.000%, 06/25/2047 | 506,243 | 608,810 | ||||||
Series 2007-57, Class FA, | ||||||||
1M US L + 0.23%, 06/25/2037(a) | 34,098 | 34,187 | ||||||
Series 2007-6, Class FC, | ||||||||
1M US L + 0.42%, 02/25/2037(a) | 50,784 | 51,280 | ||||||
Series 2007-63, Class FC, | ||||||||
1M US L + 0.35%, 07/25/2037(a) | 29,648 | 29,846 | ||||||
Series 2007-65, Class KF, | ||||||||
1M US L + 0.38%, 07/25/2037(a) | 59,849 | 60,457 | ||||||
Series 2007-65, Class ZE, | ||||||||
5.500%, 07/25/2037 | 188,906 | 213,574 | ||||||
Series 2007-70, Class FA, | ||||||||
1M US L + 0.35%, 07/25/2037(a) | 42,537 | 42,808 | ||||||
Series 2007-85, Class FC, | ||||||||
1M US L + 0.54%, 09/25/2037(a) | 135,407 | 137,344 | ||||||
Series 2007-85, Class FL, | ||||||||
1M US L + 0.54%, 09/25/2037(a) | 47,485 | 48,391 | ||||||
Series 2007-86, Class FA, | ||||||||
1M US L + 0.45%, 09/25/2037(a) | 43,619 | 44,000 |
Principal Amount | Value (Note 2) | |||||||
Series 2007-9, Class FB, | ||||||||
1M US L + 0.35%, 03/25/2037(a) | $ | 34,567 | $ | 35,007 | ||||
Series 2008-18, Class FA, | ||||||||
1M US L + 0.90%, 03/25/2038(a) | 183,890 | 188,400 | ||||||
Series 2008-24, Class WD, | ||||||||
5.500%, 02/25/2038 | 124,095 | 149,883 | ||||||
Series 2008-25, Class EF, | ||||||||
1M US L + 0.95%, 04/25/2038(a) | 60,786 | 62,482 | ||||||
Series 2008-46, Class LA, | ||||||||
5.500%, 06/25/2038 | 13,393 | 15,542 | ||||||
Series 2008-66, Class FT, | ||||||||
1M US L + 0.95%, 08/25/2038(a) | 34,677 | 35,568 | ||||||
Series 2008-86, Class FC, | ||||||||
1M US L + 1.10%, 12/25/2038(a) | 302,997 | 303,853 | ||||||
Series 2009-10, Class AB, | ||||||||
5.000%, 03/25/2024 | 66,771 | 68,705 | ||||||
Series 2009-103, Class FM, | ||||||||
1M US L + 0.70%, 11/25/2039(a) | 61,723 | 62,660 | ||||||
Series 2009-104, Class FA, | ||||||||
1M US L + 0.80%, 12/25/2039(a) | 57,296 | 57,122 | ||||||
Series 2009-11, Class MP, | ||||||||
7.000%, 03/25/2049 | 171,381 | 210,255 | ||||||
Series 2009-110, Class FG, | ||||||||
1M US L + 0.75%, 01/25/2040(a) | 149,251 | 152,400 | ||||||
Series 2009-111, Class CY, | ||||||||
5.000%, 03/25/2038 | 133,000 | 155,152 | ||||||
Series 2009-36, Class MX, | ||||||||
5.000%, 06/25/2039 | 58,000 | 69,265 | ||||||
Series 2009-47, Class BN, | ||||||||
4.500%, 07/25/2039 | 50,561 | 56,696 | ||||||
Series 2009-62, Class WA, | ||||||||
5.577%, 08/25/2039(a) | 90,443 | 101,220 | ||||||
Series 2009-68, Class FD, | ||||||||
1M US L + 1.25%, 09/25/2039(a) | 60,807 | 61,994 | ||||||
Series 2009-70, Class CO, | ||||||||
–%, 01/25/2037(b) | 107,321 | 99,665 | ||||||
Series 2009-70, Class FA, | ||||||||
1M US L + 1.20%, 09/25/2039(a) | 37,814 | 38,265 | ||||||
Series 2009-86, Class OT, | ||||||||
–%, 10/25/2037(b) | 46,986 | 43,322 |
Principal Amount | Value (Note 2) | |||||||
Series 2009-87, Class FG, | ||||||||
1M US L + 0.75%, 11/25/2039(a) | $ | 66,927 | $ | 68,143 | ||||
Series 2009-90, Class UZ, | ||||||||
4.500%, 11/25/2039 | 593,296 | 704,264 | ||||||
Series 2010-1, Class WA, | ||||||||
6.222%, 02/25/2040(a) | 29,368 | 33,525 | ||||||
Series 2010-102, Class HA, | ||||||||
4.000%, 09/25/2050 | 67,520 | 73,987 | ||||||
Series 2010-103, Class DZ, | ||||||||
4.500%, 09/25/2040 | 199,209 | 244,619 | ||||||
Series 2010-103, Class PJ, | ||||||||
4.500%, 09/25/2040 | 49,624 | 55,768 | ||||||
Series 2010-111, Class FC, | ||||||||
1M US L + 0.52%, 10/25/2040(a) | 71,879 | 72,855 | ||||||
Series 2010-118, Class LZ, | ||||||||
4.750%, 10/25/2040 | 49,070 | 56,356 | ||||||
Series 2010-118, Class GF, | ||||||||
1M US L + 0.55%, 10/25/2039(a) | 69,641 | 69,944 | ||||||
Series 2010-122, Class JA, | ||||||||
7.000%, 07/25/2040 | 37,342 | 42,474 | ||||||
Series 2010-123, Class KU, | ||||||||
4.500%, 11/25/2040 | 198,710 | 228,210 | ||||||
Series 2010-123, Class FL, | ||||||||
1M US L + 0.43%, 11/25/2040(a) | 28,829 | 29,108 | ||||||
Series 2010-129, Class PZ, | ||||||||
4.500%, 11/25/2040 | 71,626 | 77,882 | ||||||
Series 2010-130, Class BZ, | ||||||||
4.500%, 11/25/2040 | 1,858,983 | 1,997,009 | ||||||
Series 2010-137, Class XP, | ||||||||
4.500%, 10/25/2040 | 35,286 | 36,390 | ||||||
Series 2010-14, Class FJ, | ||||||||
1M US L + 0.60%, 03/25/2040(a) | 61,296 | 61,894 | ||||||
Series 2010-141, Class AL, | ||||||||
4.000%, 12/25/2040 | 82,165 | 87,997 | ||||||
Series 2010-141, Class FB, | ||||||||
1M US L + 0.47%, 12/25/2040(a) | 57,475 | 58,292 | ||||||
Series 2010-141, Class MN, | ||||||||
4.000%, 12/25/2040 | 90,000 | 104,156 | ||||||
Series 2010-142, Class FM, | ||||||||
1M US L + 0.47%, 12/25/2040(a) | 21,914 | 22,273 | ||||||
Series 2010-154, Class JA, | ||||||||
3.000%, 11/25/2040 | 479,127 | 499,748 |
Principal Amount | Value (Note 2) | |||||||
Series 2010-158, Class KF, | ||||||||
1M US L + 0.50%, 04/25/2040(a) | $ | 34,072 | $ | 34,167 | ||||
Series 2010-16, Class PL, | ||||||||
5.000%, 03/25/2040 | 71,000 | 88,207 | ||||||
Series 2010-33, Class KN, | ||||||||
4.500%, 03/25/2040 | 80,813 | 86,065 | ||||||
Series 2010-37, Class CY, | ||||||||
5.000%, 04/25/2040 | 51,987 | 59,254 | ||||||
Series 2010-38, Class KD, | ||||||||
4.500%, 09/25/2039 | 8,775 | 9,023 | ||||||
Series 2010-39, Class EF, | ||||||||
1M US L + 0.52%, 06/25/2037(a) | 54,852 | 55,723 | ||||||
Series 2010-45, Class WD, | ||||||||
5.000%, 05/25/2040 | 180,000 | 219,688 | ||||||
Series 2010-54, Class LX, | ||||||||
5.000%, 06/25/2040 | 272,000 | 328,487 | ||||||
Series 2010-58, Class FY, | ||||||||
1M US L + 0.73%, 06/25/2040(a) | 68,001 | 69,686 | ||||||
Series 2010-64, Class DM, | ||||||||
5.000%, 06/25/2040 | 66,516 | 75,039 | ||||||
Series 2010-67, Class BD, | ||||||||
4.500%, 06/25/2040 | 588,958 | 691,635 | ||||||
Series 2010-68, Class WB, | ||||||||
4.500%, 07/25/2040 | 45,000 | 53,651 | ||||||
Series 2010-82, Class WZ, | ||||||||
5.000%, 08/25/2040 | 346,255 | 416,116 | ||||||
Series 2010-9, Class ME, | ||||||||
5.000%, 02/25/2040 | 1,167,000 | 1,376,615 | ||||||
Series 2011-104, Class KH, | ||||||||
2.000%, 03/25/2039 | 6,762 | 6,826 | ||||||
Series 2011-114, Class B, | ||||||||
3.500%, 11/25/2041 | 245,462 | 273,085 | ||||||
Series 2011-121, Class JP, | ||||||||
4.500%, 12/25/2041 | 151,884 | 164,579 | ||||||
Series 2011-130, Class KB, | ||||||||
4.000%, 12/25/2041 | 74,682 | 81,896 | ||||||
Series 2011-132, Class PE, | ||||||||
4.500%, 12/25/2041 | 40,287 | 45,694 | ||||||
Series 2011-145, Class JA, | ||||||||
4.500%, 12/25/2041 | 17,791 | 18,410 | ||||||
Series 2011-15, Class AF, | ||||||||
1M US L + 0.51%, 03/25/2041(a) | 36,796 | 36,895 | ||||||
Series 2011-17, Class PD, | ||||||||
4.000%, 03/25/2041 | 10,715 | 11,193 | ||||||
Series 2011-26, Class PA, | ||||||||
4.500%, 04/25/2041 | 147,974 | 163,084 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-27, Class ZD, | ||||||||
2.500%, 09/25/2040 | $ | 157,920 | $ | 164,415 | ||||
Series 2011-3, Class FA, | ||||||||
1M US L + 0.68%, 02/25/2041(a) | 229,848 | 233,562 | ||||||
Series 2011-43, Class B, | ||||||||
3.500%, 05/25/2031 | 31,266 | 33,926 | ||||||
Series 2011-45, Class ZA, | ||||||||
4.000%, 05/25/2031 | 30,726 | 33,354 | ||||||
Series 2011-47, Class GF, | ||||||||
1M US L + 0.57%, 06/25/2041(a) | 146,644 | 149,141 | ||||||
Series 2011-5, Class PO, | ||||||||
–%, 09/25/2040(b) | 13,666 | 11,468 | ||||||
Series 2011-55, Class BZ, | ||||||||
3.500%, 06/25/2041 | 302,127 | 331,873 | ||||||
Series 2011-74, Class UB, | ||||||||
4.000%, 07/25/2040 | 243,599 | 263,827 | ||||||
Series 2011-75, Class HP, | ||||||||
2.500%, 07/25/2040 | 25,285 | 25,664 | ||||||
Series 2011-86, Class NF, | ||||||||
1M US L + 0.55%, 09/25/2041(a) | 36,501 | 37,136 | ||||||
Series 2011-86, Class AF, | ||||||||
1M US L + 0.50%, 02/25/2040(a) | 47,831 | 47,784 | ||||||
Series 2011-93, Class GA, | ||||||||
4.000%, 04/25/2039 | 34,852 | 36,905 | ||||||
Series 2011-93, Class ST, | ||||||||
4.000%, 09/25/2041 | 29,662 | 33,289 | ||||||
Series 2012-100, Class DB, | ||||||||
3.000%, 09/25/2042 | 150,000 | 160,600 | ||||||
Series 2012-106, Class QN, | ||||||||
3.500%, 10/25/2042 | 83,412 | 87,819 | ||||||
Series 2012-111, Class B, | ||||||||
7.000%, 10/25/2042 | 122,723 | 149,300 | ||||||
Series 2012-120, Class AH, | ||||||||
2.500%, 02/25/2032 | 64,120 | 65,920 | ||||||
Series 2012-128, Class NP, | ||||||||
2.500%, 11/25/2042 | 16,561 | 17,183 | ||||||
Series 2012-129, Class HT, | ||||||||
2.000%, 12/25/2032 | 63,389 | 64,253 | ||||||
Series 2012-13, Class JP, | ||||||||
4.500%, 02/25/2042 | 836,636 | 887,815 | ||||||
Series 2012-131, Class FG, | ||||||||
1M US L + 0.35%, 09/25/2042(a) | 20,467 | 20,504 | ||||||
Series 2012-137, Class CF, | ||||||||
1M US L + 0.30%, 08/25/2041(a) | 45,264 | 45,230 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-139, Class GB, | ||||||||
2.500%, 12/25/2042 | $ | 210,538 | $ | 198,128 | ||||
Series 2012-14, Class MH, | ||||||||
2.000%, 12/25/2040 | 39,733 | 40,256 | ||||||
Series 2012-14, Class FL, | ||||||||
1M US L + 0.45%, 12/25/2040(a) | 11,013 | 11,058 | ||||||
Series 2012-149, Class DA, | ||||||||
1.750%, 01/25/2043 | 44,708 | 45,570 | ||||||
Series 2012-149, Class KB, | ||||||||
3.000%, 01/25/2043 | 144,000 | 149,885 | ||||||
Series 2012-149, Class ZA, | ||||||||
3.000%, 01/25/2041 | 190,717 | 196,067 | ||||||
Series 2012-152, Class PB, | ||||||||
3.500%, 01/25/2043 | 55,000 | 60,822 | ||||||
Series 2012-20, Class TD, | ||||||||
4.500%, 02/25/2042 | 117,942 | 122,646 | ||||||
Series 2012-26, Class MA, | ||||||||
3.500%, 03/25/2042 | 202,672 | 219,875 | ||||||
Series 2012-33, Class F, | ||||||||
1M US L + 0.52%, 04/25/2042(a) | 51,631 | 52,248 | ||||||
Series 2012-37, Class BF, | ||||||||
1M US L + 0.50%, 12/25/2035(a) | 70,146 | 71,218 | ||||||
Series 2012-46, Class YB, | ||||||||
3.500%, 05/25/2042 | 84,109 | 86,220 | ||||||
Series 2012-47, Class HF, | ||||||||
1M US L + 0.40%, 05/25/2027(a) | 100,349 | 100,124 | ||||||
Series 2012-49, Class TG, | ||||||||
2.000%, 07/25/2041 | 150,354 | 153,556 | ||||||
Series 2012-50, Class HC, | ||||||||
2.000%, 03/25/2042 | 62,992 | 64,456 | ||||||
Series 2012-53, Class AP, | ||||||||
2.000%, 04/25/2041 | 192,052 | 195,656 | ||||||
Series 2012-56, Class UB, | ||||||||
4.000%, 06/25/2042 | 416,000 | 463,717 | ||||||
Series 2012-56, Class WB, | ||||||||
3.500%, 05/25/2042 | 111,379 | 118,345 | ||||||
Series 2012-64, Class NA, | ||||||||
3.000%, 08/25/2041 | 180,134 | 183,449 | ||||||
Series 2012-70, Class WC, | ||||||||
3.000%, 07/25/2042 | 122,000 | 124,656 | ||||||
Series 2012-80, Class GZ, | ||||||||
3.000%, 08/25/2042 | 566,195 | 596,293 | ||||||
Series 2012-82, Class E, | ||||||||
2.000%, 04/25/2042 | 51,749 | 53,481 | ||||||
Series 2012-83, Class AC, | ||||||||
3.000%, 08/25/2042 | 50,000 | 54,124 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-83, Class LD, | ||||||||
2.000%, 04/25/2041 | $ | 125,626 | $ | 127,330 | ||||
Series 2012-94, Class KF, | ||||||||
1M US L + 0.35%, 05/25/2038(a) | 16,640 | 16,664 | ||||||
Series 2012-98, Class ZP, | ||||||||
6.000%, 09/25/2042 | 596,811 | 851,110 | ||||||
Series 2013-100, Class DH, | ||||||||
3.000%, 09/25/2031 | 80,727 | 82,362 | ||||||
Series 2013-104, Class CY, | ||||||||
5.000%, 10/25/2043 | 50,000 | 61,950 | ||||||
Series 2013-108, Class GU, | ||||||||
3.000%, 10/25/2033 | 55,000 | 59,774 | ||||||
Series 2013-111, Class PA, | ||||||||
2.000%, 12/25/2042 | 87,508 | 87,645 | ||||||
Series 2013-114, Class LM, | ||||||||
4.000%, 03/25/2042 | 300,000 | 334,435 | ||||||
Series 2013-127, Class NA, | ||||||||
2.000%, 09/25/2039 | 86,469 | 87,891 | ||||||
Series 2013-129, Class WL, | ||||||||
2.000%, 12/25/2027 | 14,478 | 14,700 | ||||||
Series 2013-130, Class FB, | ||||||||
1M US L + 0.45%, 01/25/2044(a) | 57,995 | 58,600 | ||||||
Series 2013-136, Class QB, | ||||||||
3.500%, 03/25/2042 | 276,336 | 300,783 | ||||||
Series 2013-17, Class YM, | ||||||||
4.000%, 03/25/2033 | 21,180 | 23,463 | ||||||
Series 2013-2, Class QF, | ||||||||
1M US L + 0.50%, 02/25/2043(a) | 23,025 | 23,258 | ||||||
Series 2013-35, Class CV, | ||||||||
3.000%, 02/25/2043 | 100,000 | 108,466 | ||||||
Series 2013-40, Class KD, | ||||||||
1.750%, 04/25/2042 | 19,477 | 19,675 | ||||||
Series 2013-52, Class GM, | ||||||||
5.000%, 06/25/2043 | 89,000 | 106,354 | ||||||
Series 2013-53, Class CV, | ||||||||
3.500%, 05/25/2030 | 126,427 | 133,047 | ||||||
Series 2013-68, Class P, | ||||||||
3.500%, 10/25/2042 | 268,269 | 281,106 | ||||||
Series 2013-68, Class LE, | ||||||||
2.000%, 04/25/2043 | 160,309 | 164,031 | ||||||
Series 2013-72, Class AF, | ||||||||
1M US L + 0.25%, 11/25/2042(a) | 16,653 | 16,683 | ||||||
Series 2013-72, Class YA, | ||||||||
3.000%, 06/25/2033 | 14,349 | 14,655 | ||||||
Series 2013-9, Class CB, | ||||||||
5.500%, 04/25/2042 | 17,248 | 19,868 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-91, Class PB, | ||||||||
4.000%, 09/25/2043 | $ | 100,000 | $ | 111,314 | ||||
Series 2013-94, Class BA, | ||||||||
3.000%, 03/25/2031 | 743,530 | 753,589 | ||||||
Series 2013-98, Class CJ, | ||||||||
2.500%, 07/25/2030 | 40,937 | 41,187 | ||||||
Series 2014-12, Class GV, | ||||||||
3.500%, 03/25/2027 | 120,763 | 123,129 | ||||||
Series 2014-21, Class MA, | ||||||||
2.000%, 09/25/2041 | 151,246 | 155,930 | ||||||
Series 2014-26, Class YW, | ||||||||
3.500%, 04/25/2044 | 50,538 | 55,861 | ||||||
Series 2014-3, Class BM, | ||||||||
2.500%, 06/25/2043 | 50,000 | 52,059 | ||||||
Series 2014-49, Class CA, | ||||||||
3.000%, 08/25/2044 | 150,872 | 160,139 | ||||||
Series 2014-73, Class FA, | ||||||||
1M US L + 0.35%, 11/25/2044(a) | 21,172 | 21,316 | ||||||
Series 2014-81, Class GC, | ||||||||
3.000%, 03/25/2038 | 63,969 | 66,699 | ||||||
Series 2014-88, Class ER, | ||||||||
2.500%, 02/25/2036 | 46,686 | 49,000 | ||||||
Series 2015-44, Class J, | ||||||||
3.500%, 12/25/2040 | 155,825 | 157,402 | ||||||
Series 2015-48, Class DB, | ||||||||
3.000%, 08/25/2038 | 82,305 | 82,499 | ||||||
Series 2015-51, Class CD, | ||||||||
3.000%, 07/25/2044 | 206,760 | 215,412 | ||||||
Series 2015-94, Class EP, | ||||||||
3.000%, 07/25/2043 | 8,813 | 8,806 | ||||||
Series 2016-14, Class NC, | ||||||||
2.500%, 03/25/2046 | 1,165,045 | 1,192,469 | ||||||
Series 2016-27, Class HK, | ||||||||
3.000%, 01/25/2041 | 425,483 | 455,442 | ||||||
Series 2016-33, Class LE, | ||||||||
2.500%, 11/25/2033 | 62,494 | 65,637 | ||||||
Series 2016-48, Class UF, | ||||||||
1M US L + 0.40%, 08/25/2046(a) | 104,444 | 105,204 | ||||||
Series 2016-55, Class EA, | ||||||||
1.750%, 07/25/2043 | 1,082,242 | 1,096,365 | ||||||
Series 2016-75, Class FC, | ||||||||
1M US L + 0.40%, 10/25/2046(a) | 39,248 | 39,632 | ||||||
Series 2016-8, Class CB, | ||||||||
3.500%, 03/25/2046 | 525,000 | 592,745 | ||||||
Series 2016-85, Class BA, | ||||||||
2.500%, 11/25/2046 | 22,480 | 23,460 | ||||||
Series 2016-9, Class PA, | ||||||||
2.500%, 06/25/2045 | 391,659 | 406,179 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-9, Class D, | ||||||||
3.000%, 03/25/2046 | $ | 48,553 | $ | 51,606 | ||||
Series 2016-93, Class LA, | ||||||||
3.000%, 08/25/2042 | 29,171 | 29,224 | ||||||
Series 2017-1, Class JP, | ||||||||
3.500%, 04/25/2045 | 226,128 | 229,961 | ||||||
Series 2017-1, Class AP, | ||||||||
3.500%, 05/25/2043 | 41,240 | 41,366 | ||||||
Series 2017-10, Class FA, | ||||||||
1M US L + 0.40%, 03/25/2047(a) | 46,264 | 46,645 | ||||||
Series 2017-107, Class GA, | ||||||||
3.000%, 08/25/2045 | 161,559 | 163,562 | ||||||
Series 2017-15, Class PE, | ||||||||
3.500%, 04/25/2046 | 81,155 | 85,687 | ||||||
Series 2017-16, Class JA, | ||||||||
3.000%, 02/25/2043 | 96 | 96 | ||||||
Series 2017-19, Class B, | ||||||||
3.000%, 01/25/2047 | 107,423 | 111,969 | ||||||
Series 2017-22, Class DA, | ||||||||
4.000%, 08/25/2044 | 66,025 | 67,612 | ||||||
Series 2017-24, Class H, | ||||||||
3.000%, 08/25/2043 | 293,903 | 302,037 | ||||||
Series 2017-35, Class AH, | ||||||||
3.500%, 04/25/2053 | 34,037 | 35,005 | ||||||
Series 2017-38, Class JA, | ||||||||
3.000%, 03/25/2047 | 195,540 | 204,523 | ||||||
Series 2017-40, Class GL, | ||||||||
3.500%, 03/25/2043 | 20,480 | 20,950 | ||||||
Series 2017-45, Class KD, | ||||||||
3.500%, 02/25/2044 | 35,091 | 35,372 | ||||||
Series 2017-46, Class AB, | ||||||||
3.500%, 07/25/2049 | 57,283 | 58,014 | ||||||
Series 2017-56, Class BA, | ||||||||
3.000%, 03/25/2045 | 165,377 | 170,762 | ||||||
Series 2017-59, Class DC, | ||||||||
3.500%, 05/25/2044 | 16,854 | 16,867 | ||||||
Series 2017-68, Class HQ, | ||||||||
3.000%, 07/25/2046 | 191,175 | 199,406 | ||||||
Series 2018-1, Class TE, | ||||||||
3.500%, 03/25/2044 | 461,157 | 472,071 | ||||||
Series 2018-11, Class BC, | ||||||||
3.750%, 05/25/2044 | 77,905 | 77,987 | ||||||
Series 2018-16, Class HA, | ||||||||
3.000%, 07/25/2043 | 50,315 | 50,811 | ||||||
Series 2018-19, Class KB, | ||||||||
3.000%, 04/25/2046 | 155,315 | 159,163 | ||||||
Series 2018-2, Class HD, | ||||||||
3.000%, 02/25/2047 | 85,109 | 87,061 | ||||||
Series 2018-22, Class BD, | ||||||||
3.500%, 05/25/2044 | 100,546 | 100,751 |
Principal Amount | Value (Note 2) | |||||||
Series 2018-24, Class BA, | ||||||||
3.500%, 09/25/2045 | $ | 134,611 | $ | 138,249 | ||||
Series 2018-38, Class PA, | ||||||||
3.500%, 06/25/2047 | 35,783 | 37,270 | ||||||
Series 2018-39, Class FG, | ||||||||
1M US L + 0.25%, 11/25/2033(a) | 151,279 | 152,069 | ||||||
Series 2018-41, Class PZ, | ||||||||
4.000%, 06/25/2048 | 886,278 | 1,044,176 | ||||||
Series 2018-43, Class FE, | ||||||||
1M US L + 0.25%, 09/25/2038(a) | 52,359 | 52,571 | ||||||
Series 2018-45, Class GA, | ||||||||
3.000%, 06/25/2048 | 70,131 | 73,467 | ||||||
Series 2018-5, Class JP, | ||||||||
3.000%, 09/25/2047 | 90,192 | 92,069 | ||||||
Series 2018-56, Class CH, | ||||||||
3.000%, 08/25/2048 | 56,651 | 59,697 | ||||||
Series 2018-60, Class KL, | ||||||||
4.000%, 08/25/2048 | 96,000 | 113,209 | ||||||
Series 2018-67, Class DY, | ||||||||
4.000%, 09/25/2048 | 304,029 | 359,027 | ||||||
Series 2018-77, Class BA, | ||||||||
3.000%, 04/25/2044 | 27,458 | 27,470 | ||||||
Series 2018-83, Class LH, | ||||||||
4.000%, 11/25/2048 | 45,322 | 47,847 | ||||||
Series 2018-94, Class KD, | ||||||||
3.500%, 12/25/2048 | 96,225 | 101,284 | ||||||
Series 2019-10, Class MA, | ||||||||
3.000%, 03/25/2049 | 155,182 | 161,314 | ||||||
Series 2019-13, Class MH, | ||||||||
3.000%, 03/25/2049 | 888,483 | 946,566 | ||||||
Series 2019-37, Class AE, | ||||||||
6.000%, 07/25/2043 | 185,525 | 185,642 | ||||||
Series 2019-55, Class MQ, | ||||||||
3.500%, 10/25/2049 | 1,238,350 | 1,310,262 | ||||||
Series 2019-60, Class BF, | ||||||||
1M US L + 0.45%, 10/25/2049(a) | 23,008 | 23,160 | ||||||
Series 2019-65, Class HA, | ||||||||
2.500%, 11/25/2049 | 240,963 | 249,178 | ||||||
Series 2020-10, Class B, | ||||||||
3.000%, 03/25/2050 | 517,314 | 532,015 | ||||||
Series 2020-11, Class EA, | ||||||||
3.000%, 05/25/2043 | 37,815 | 37,834 | ||||||
47,974,864 | ||||||||
Freddie Mac | ||||||||
Series 1994-1665, Class KZ, | ||||||||
6.500%, 01/15/2024 | 5,056 | 5,367 | ||||||
Series 1996-1863, Class Z, | ||||||||
6.500%, 07/15/2026 | 10,099 | 10,681 |
Principal Amount | Value (Note 2) | |||||||
Series 1997-1935, Class FK, | ||||||||
1M US L + 0.70%, 02/15/2027(a) | $ | 16,868 | $ | 16,998 | ||||
Series 1997-1980, Class Z, | ||||||||
7.000%, 07/15/2027 | 18,057 | 20,491 | ||||||
Series 1998-2034, Class Z, | ||||||||
6.500%, 02/15/2028 | 36,526 | 40,913 | ||||||
Series 1998-2035, Class PC, | ||||||||
6.950%, 03/15/2028 | 6,820 | 7,698 | ||||||
Series 1998-2053, Class Z, | ||||||||
6.500%, 04/15/2028 | 19,834 | 22,681 | ||||||
Series 1998-2060, Class Z, | ||||||||
6.500%, 05/15/2028 | 13,054 | 14,798 | ||||||
Series 1998-2079, Class FA, | ||||||||
1M US L + 0.50%, 07/17/2028(a) | 5,400 | 5,410 | ||||||
Series 1998-2095, Class PE, | ||||||||
6.000%, 11/15/2028 | 22,507 | 25,360 | ||||||
Series 1998-2102, Class Z, | ||||||||
6.000%, 12/15/2028 | 73,903 | 83,151 | ||||||
Series 1999-2115, Class FB, | ||||||||
1M US L + 0.45%, 01/15/2029(a) | 43,215 | 43,350 | ||||||
Series 1999-2126, Class CB, | ||||||||
6.250%, 02/15/2029 | 33,936 | 37,728 | ||||||
Series 1999-2137, Class TH, | ||||||||
6.500%, 03/15/2029 | 7,904 | 9,003 | ||||||
Series 1999-2154, Class PL, | ||||||||
6.500%, 05/15/2029 | 35,353 | 40,489 | ||||||
Series 2000-2224, Class CB, | ||||||||
8.000%, 03/15/2030 | 9,312 | 11,110 | ||||||
Series 2001-2274, Class ZM, | ||||||||
6.500%, 01/15/2031 | 14,735 | 16,613 | ||||||
Series 2001-2279, Class Z, | ||||||||
6.000%, 01/15/2031 | 15,601 | 17,482 | ||||||
Series 2001-2320, Class FI, | ||||||||
1M US L + 0.50%, 09/15/2029(a) | 43,209 | 43,456 | ||||||
Series 2001-2322, Class FV, | ||||||||
1M US L + 0.50%, 06/15/2030(a) | 35,522 | 35,048 | ||||||
Series 2001-2324, Class PZ, | ||||||||
6.500%, 06/15/2031 | 164,518 | 193,727 | ||||||
Series 2001-2334, Class KB, | ||||||||
6.500%, 05/15/2028 | 118,821 | 133,531 | ||||||
Series 2001-2341, Class FP, | ||||||||
1M US L + 0.90%, 07/15/2031(a) | 42,165 | 43,088 | ||||||
Series 2001-2367, Class FA, | ||||||||
1M US L + 0.525%, 06/15/2031(a) | 37,420 | 37,696 |
Principal Amount | Value (Note 2) | |||||||
Series 2001-2372, Class F, | ||||||||
1M US L + 0.50%, 10/15/2031(a) | $ | 33,390 | $ | 33,559 | ||||
Series 2001-2388, Class FR, | ||||||||
1M US L + 0.65%, 06/15/2031(a) | 24,898 | 25,180 | ||||||
Series 2001-2388, Class FB, | ||||||||
1M US L + 0.60%, 01/15/2029(a) | 28,527 | 28,757 | ||||||
Series 2001-2391, Class HF, | ||||||||
1M US L + 0.55%, 06/15/2031(a) | 12,841 | 12,945 | ||||||
Series 2001-2396, Class FM, | ||||||||
1M US L + 0.45%, 12/15/2031(a) | 48,632 | 48,784 | ||||||
Series 2001-2396, Class FN, | ||||||||
1M US L + 0.65%, 12/15/2031(a) | 126,304 | 128,314 | ||||||
Series 2002-2411, Class F, | ||||||||
1M US L + 0.55%, 02/15/2032(a) | 31,676 | 31,986 | ||||||
Series 2002-2412, Class OF, | ||||||||
1M US L + 0.95%, 12/15/2031(a) | 40,202 | 41,148 | ||||||
Series 2002-2417, Class FY, | ||||||||
1M US L + 0.60%, 12/15/2031(a) | 12,971 | 13,104 | ||||||
Series 2002-2424, Class FY, | ||||||||
1M US L + 0.45%, 03/15/2032(a) | 66,337 | 66,539 | ||||||
Series 2002-2430, Class WF, | ||||||||
6.500%, 03/15/2032 | 11,419 | 13,498 | ||||||
Series 2002-2433, Class FA, | ||||||||
1M US L + 0.95%, 02/15/2032(a) | 44,987 | 46,028 | ||||||
Series 2002-2460, Class FA, | ||||||||
1M US L + 1.00%, 03/15/2032(a) | 88,170 | 90,198 | ||||||
Series 2002-2466, Class FV, | ||||||||
1M US L + 0.55%, 03/15/2032(a) | 84,276 | 85,013 | ||||||
Series 2002-2470, Class EF, | ||||||||
1M US L + 1.00%, 03/15/2032(a) | 94,522 | 96,287 | ||||||
Series 2002-2478, Class FD, | ||||||||
1M US L + 1.00%, 02/15/2032(a) | 27,001 | 27,104 | ||||||
Series 2002-2481, Class FE, | ||||||||
1M US L + 1.00%, 03/15/2032(a) | 26,709 | 27,323 | ||||||
Series 2002-2488, Class FU, | ||||||||
1M US L + 0.60%, 03/15/2032(a) | 80,211 | 79,913 |
Principal Amount | Value (Note 2) | |||||||
Series 2002-2494, Class F, | ||||||||
1M US L + 1.05%, 06/15/2031(a) | $ | 49,711 | $ | 50,867 | ||||
Series 2002-2495, Class ZB, | ||||||||
4.500%, 09/15/2032 | 50,163 | 55,233 | ||||||
Series 2002-2510, Class FE, | ||||||||
1M US L + 0.40%, 10/15/2032(a) | 42,067 | 42,139 | ||||||
Series 2002-2513, Class AF, | ||||||||
1M US L + 1.00%, 02/15/2032(a) | 72,174 | 73,845 | ||||||
Series 2002-2516, Class FD, | ||||||||
1M US L + 1.00%, 02/15/2032(a) | 68,589 | 70,215 | ||||||
Series 2002-2517, Class FR, | ||||||||
1M US L + 0.35%, 10/15/2032(a) | 19,351 | 19,387 | ||||||
Series 2002-2524, Class DH, | ||||||||
6.000%, 11/15/2032 | 33,000 | 38,799 | ||||||
Series 2002-2525, Class NU, | ||||||||
5.000%, 04/15/2032 | 104,618 | 117,115 | ||||||
Series 2002-2535, Class AW, | ||||||||
5.500%, 12/15/2032 | 15,372 | 17,476 | ||||||
Series 2002-2538, Class F, | ||||||||
1M US L + 0.60%, 12/15/2032(a) | 200,878 | 204,482 | ||||||
Series 2002-2541, Class BL, | ||||||||
5.500%, 12/15/2032 | 58,854 | 66,811 | ||||||
Series 2003-2554, Class MN, | ||||||||
5.500%, 01/15/2033 | 62,969 | 71,914 | ||||||
Series 2003-2557, Class NU, | ||||||||
5.250%, 03/15/2032 | 77,417 | 88,656 | ||||||
Series 2003-2557, Class HL, | ||||||||
5.300%, 01/15/2033 | 131,754 | 151,952 | ||||||
Series 2003-2557, Class WF, | ||||||||
1M US L + 0.40%, 01/15/2033(a) | 45,665 | 45,835 | ||||||
Series 2003-2568, Class D, | ||||||||
5.500%, 02/15/2033 | 43,415 | 49,750 | ||||||
Series 2003-2571, Class FY, | ||||||||
1M US L + 0.75%, 12/15/2032(a) | 28,786 | 29,382 | ||||||
Series 2003-2587, Class FW, | ||||||||
1M US L + 0.47%, 03/15/2033(a) | 56,564 | 56,459 | ||||||
Series 2003-2590, Class OZ, | ||||||||
4.000%, 03/15/2033 | 239,139 | 265,090 | ||||||
Series 2003-2590, Class QY, | ||||||||
3.750%, 04/15/2028 | 15,667 | 16,294 | ||||||
Series 2003-2614, Class FV, | ||||||||
1M US L + 1.50%, 05/15/2033(a) | 304,204 | 314,559 |
Principal Amount | Value (Note 2) | |||||||
Series 2003-2624, Class QH, | ||||||||
5.000%, 06/15/2033 | $ | 17,455 | $ | 20,068 | ||||
Series 2003-2626, Class ZX, | ||||||||
5.000%, 06/15/2033 | 186,133 | 218,456 | ||||||
Series 2003-2627, Class CN, | ||||||||
5.000%, 06/15/2033 | 50,760 | 58,402 | ||||||
Series 2003-2631, Class DB, | ||||||||
5.000%, 06/15/2033 | 148,000 | 173,344 | ||||||
Series 2003-2647, Class A, | ||||||||
3.250%, 04/15/2032 | 88,278 | 94,472 | ||||||
Series 2003-2648, Class WZ, | ||||||||
5.000%, 07/15/2033 | 245,501 | 291,159 | ||||||
Series 2003-2668, Class LH, | ||||||||
5.000%, 09/15/2033 | 32,716 | 37,158 | ||||||
Series 2003-2707, Class FH, | ||||||||
1M US L + 0.65%, 04/15/2032(a) | 51,235 | 51,995 | ||||||
Series 2003-2717, Class LH, | ||||||||
5.500%, 12/15/2033 | 8,159 | 9,223 | ||||||
Series 2003-2725, Class TA, | ||||||||
4.500%, 12/15/2033 | 97,000 | 112,558 | ||||||
Series 2004-2750, Class TC, | ||||||||
5.250%, 02/15/2034 | 11,921 | 13,138 | ||||||
Series 2004-2768, Class PW, | ||||||||
4.250%, 03/15/2034 | 172,509 | 188,421 | ||||||
Series 2004-2802, Class OH, | ||||||||
6.000%, 05/15/2034 | 29,475 | 32,962 | ||||||
Series 2004-2835, Class KZ, | ||||||||
5.500%, 08/15/2034 | 54,853 | 63,813 | ||||||
Series 2004-2893, Class PE, | ||||||||
5.000%, 11/15/2034 | 17,873 | 20,345 | ||||||
Series 2004-2896, Class BZ, | ||||||||
5.000%, 11/15/2034 | 101,853 | 115,906 | ||||||
Series 2004-2901, Class KB, | ||||||||
5.000%, 12/15/2034 | 52,030 | 59,373 | ||||||
Series 2005-2927, Class EZ, | ||||||||
5.500%, 02/15/2035 | 39,068 | 42,292 | ||||||
Series 2005-2929, Class PG, | ||||||||
5.000%, 02/15/2035 | 36,238 | 41,438 | ||||||
Series 2005-2933, Class HD, | ||||||||
5.500%, 02/15/2035 | 45,352 | 51,183 | ||||||
Series 2005-2953, Class PG, | ||||||||
5.500%, 03/15/2035 | 25,618 | 29,913 | ||||||
Series 2005-2962, Class KF, | ||||||||
1M US L + 0.20%, 04/15/2035(a) | 23,435 | 23,464 | ||||||
Series 2005-2980, Class QA, | ||||||||
6.000%, 05/15/2035 | 48,877 | 56,039 | ||||||
Series 2005-2996, Class GX, | ||||||||
5.500%, 06/15/2035 | 72,000 | 87,729 |
Principal Amount | Value (Note 2) | |||||||
Series 2005-3012, Class ZE, | ||||||||
5.750%, 08/15/2035 | $ | 59,922 | $ | 68,320 | ||||
Series 2005-3028, Class FM, | ||||||||
1M US L + 0.25%, 09/15/2035(a) | 17,122 | 17,165 | ||||||
Series 2005-3028, Class PG, | ||||||||
5.500%, 09/15/2035 | 47,220 | 53,571 | ||||||
Series 2005-3028, Class ZE, | ||||||||
5.500%, 09/15/2035 | 787,658 | 887,337 | ||||||
Series 2005-3033, Class WY, | ||||||||
5.500%, 09/15/2035 | 72,150 | 83,689 | ||||||
Series 2005-3036, Class NE, | ||||||||
5.000%, 09/15/2035 | 132,535 | 151,843 | ||||||
Series 2005-3042, Class PZ, | ||||||||
5.750%, 09/15/2035 | 141,358 | 178,767 | ||||||
Series 2005-3052, Class WH, | ||||||||
5.500%, 10/15/2035 | 16,254 | 18,510 | ||||||
Series 2005-3059, Class ZM, | ||||||||
5.000%, 02/15/2035 | 128,049 | 144,212 | ||||||
Series 2005-3062, Class DE, | ||||||||
5.500%, 11/15/2035 | 184,809 | 210,260 | ||||||
Series 2005-3068, Class Z, | ||||||||
5.500%, 11/15/2035 | 233,551 | 274,921 | ||||||
Series 2005-3070, Class FT, | ||||||||
1M US L + 0.35%, 11/15/2035(a) | 25,912 | 26,110 | ||||||
Series 2005-3072, Class NF, | ||||||||
1M US L + 0.50%, 11/15/2035(a) | 50,668 | 51,404 | ||||||
Series 2005-3085, Class FE, | ||||||||
1M US L + 0.80%, 08/15/2035(a) | 61,665 | 63,140 | ||||||
Series 2006-3098, Class PG, | ||||||||
5.000%, 01/15/2036 | 91,583 | 104,886 | ||||||
Series 2006-3122, Class OH, | ||||||||
–%, 03/15/2036(b) | 18,059 | 16,906 | ||||||
Series 2006-3123, Class HT, | ||||||||
5.000%, 03/15/2026 | 41,466 | 44,158 | ||||||
Series 2006-3136, Class KF, | ||||||||
1M US L + 0.30%, 04/15/2036(a) | 32,918 | 33,053 | ||||||
Series 2006-3137, Class XP, | ||||||||
6.000%, 04/15/2036 | 26,795 | 31,828 | ||||||
Series 2006-3143, Class BC, | ||||||||
5.500%, 02/15/2036 | 128,778 | 150,425 | ||||||
Series 2006-3145, Class FN, | ||||||||
1M US L + 0.43%, 04/15/2036(a) | 16,870 | 17,048 | ||||||
Series 2006-3148, Class CY, | ||||||||
6.000%, 04/15/2036 | 26,966 | 31,001 |
Principal Amount | Value (Note 2) | |||||||
Series 2006-3153, Class UG, | ||||||||
1M US L + 0.45%, 05/15/2036(a) | $ | 29,709 | $ | 29,992 | ||||
Series 2006-3154, Class PN, | ||||||||
5.500%, 05/15/2036 | 82,407 | 95,048 | ||||||
Series 2006-3201, Class FL, | ||||||||
1M US L + 0.60%, 08/15/2036(a) | 125,584 | 127,806 | ||||||
Series 2006-3202, Class HF, | ||||||||
1M US L + 0.35%, 08/15/2036(a) | 59,478 | 59,883 | ||||||
Series 2006-3203, Class ZM, | ||||||||
5.000%, 08/15/2036 | 158,934 | 180,625 | ||||||
Series 2006-3204, Class ZM, | ||||||||
5.000%, 08/15/2034 | 132,196 | 150,455 | ||||||
Series 2006-3206, Class FE, | ||||||||
1M US L + 0.40%, 08/15/2036(a) | 64,757 | 65,518 | ||||||
Series 2006-3236, Class EF, | ||||||||
1M US L + 0.30%, 11/15/2036(a) | 17,000 | 17,112 | ||||||
Series 2006-3237, Class CD, | ||||||||
5.500%, 09/15/2036 | 198,000 | 220,515 | ||||||
Series 2006-3237, Class CE, | ||||||||
5.500%, 11/15/2036 | 59,000 | 72,557 | ||||||
Series 2006-3249, Class CB, | ||||||||
4.250%, 12/15/2036 | 425,500 | 471,937 | ||||||
Series 2007-3262, Class FT, | ||||||||
1M US L + 0.27%, 01/15/2037(a) | 75,695 | 75,926 | ||||||
Series 2007-3279, Class FB, | ||||||||
1M US L + 0.32%, 02/15/2037(a) | 101,429 | 102,110 | ||||||
Series 2007-3284, Class AZ, | ||||||||
4.500%, 03/15/2037 | 95,935 | 105,298 | ||||||
Series 2007-3301, Class FY, | ||||||||
1M US L + 0.42%, 04/15/2037(a) | 30,994 | 31,362 | ||||||
Series 2007-3311, Class DF, | ||||||||
1M US L + 0.34%, 05/15/2037(a) | 150,679 | 151,746 | ||||||
Series 2007-3312, Class PA, | ||||||||
5.500%, 05/15/2037 | 23,918 | 27,844 | ||||||
Series 2007-3316, Class FB, | ||||||||
1M US L + 0.30%, 08/15/2035(a) | 43,729 | 44,080 | ||||||
Series 2007-3349, Class HG, | ||||||||
5.500%, 07/15/2037 | 24,221 | 28,091 | ||||||
Series 2007-3361, Class AF, | ||||||||
1M US L + 0.35%, 11/15/2036(a) | 99,236 | 100,048 |
Principal Amount | Value (Note 2) | |||||||
Series 2007-3367, Class YF, | ||||||||
1M US L + 0.55%, 09/15/2037(a) | $ | 22,724 | $ | 23,124 | ||||
Series 2007-3368, Class AF, | ||||||||
1M US L + 0.72%, 09/15/2037(a) | 86,251 | 87,851 | ||||||
Series 2007-3378, Class FA, | ||||||||
1M US L + 0.58%, 06/15/2037(a) | 41,061 | 41,786 | ||||||
Series 2007-3380, Class FM, | ||||||||
1M US L + 0.59%, 10/15/2037(a) | 28,419 | 28,915 | ||||||
Series 2007-3382, Class FL, | ||||||||
1M US L + 0.70%, 11/15/2037(a) | 105,169 | 104,619 | ||||||
Series 2007-3382, Class FG, | ||||||||
1M US L + 0.60%, 11/15/2037(a) | 48,928 | 49,758 | ||||||
Series 2007-3387, Class PF, | ||||||||
1M US L + 0.42%, 11/15/2037(a) | 37,276 | 37,707 | ||||||
Series 2007-3388, Class FJ, | ||||||||
1M US L + 0.70%, 11/15/2037(a) | 146,287 | 149,230 | ||||||
Series 2008-3404, Class DC, | ||||||||
5.500%, 01/15/2038 | 122,000 | 147,656 | ||||||
Series 2008-3405, Class PE, | ||||||||
5.000%, 01/15/2038 | 66,095 | 74,087 | ||||||
Series 2008-3409, Class DB, | ||||||||
6.000%, 01/15/2038 | 196,562 | 232,538 | ||||||
Series 2008-3411, Class FL, | ||||||||
1M US L + 0.70%, 02/15/2038(a) | 28,285 | 28,995 | ||||||
Series 2008-3415, Class TF, | ||||||||
1M US L + 0.74%, 08/15/2035(a) | 63,400 | 64,819 | ||||||
Series 2008-3415, Class DF, | ||||||||
1M US L + 0.70%, 08/15/2035(a) | 128,005 | 130,598 | ||||||
Series 2008-3415, Class PC, | ||||||||
5.000%, 12/15/2037 | 44,651 | 50,555 | ||||||
Series 2008-3450, Class PE, | ||||||||
5.000%, 05/15/2038 | 100,201 | 110,867 | ||||||
Series 2008-3469, Class CF, | ||||||||
1M US L + 0.79%, 07/15/2038(a) | 103,825 | 103,826 | ||||||
Series 2009-3536, Class FM, | ||||||||
1M US L + 1.00%, 05/15/2039(a) | 34,685 | 35,722 | ||||||
Series 2009-3539, Class B, | ||||||||
4.500%, 06/15/2029 | 44,000 | 50,206 |
Principal Amount | Value (Note 2) | |||||||
Series 2009-3545, Class FA, | ||||||||
1M US L + 0.85%, 06/15/2039(a) | $ | 108,630 | $ | 111,323 | ||||
Series 2009-3548, Class ZE, | ||||||||
5.500%, 12/15/2032 | 236,570 | 273,634 | ||||||
Series 2009-3549, Class FA, | ||||||||
1M US L + 1.20%, 07/15/2039(a) | 48,860 | 49,879 | ||||||
Series 2009-3564, Class NB, | ||||||||
5.000%, 08/15/2039 | 349,000 | 407,234 | ||||||
Series 2009-3574, Class D, | ||||||||
5.000%, 09/15/2039 | 104,977 | 119,870 | ||||||
Series 2009-3584, Class FA, | ||||||||
1M US L + 0.70%, 12/15/2036(a) | 36,787 | 37,499 | ||||||
Series 2009-3587, Class DA, | ||||||||
4.500%, 10/15/2039 | 174,053 | 190,172 | ||||||
Series 2009-3604, Class PO, | ||||||||
–%, 05/15/2036(b) | 91,862 | 83,577 | ||||||
Series 2009-3605, Class BF, | ||||||||
1M US L + 0.86%, 11/15/2039(a) | 182,431 | 187,237 | ||||||
Series 2009-3611, Class FH, | ||||||||
1M US L + 0.75%, 07/15/2034(a) | 16,386 | 16,744 | ||||||
Series 2010-3620, Class EL, | ||||||||
4.000%, 01/15/2030 | 35,011 | 38,015 | ||||||
Series 2010-3626, Class ME, | ||||||||
5.000%, 01/15/2040 | 405,000 | 464,748 | ||||||
Series 2010-3631, Class PA, | ||||||||
4.000%, 02/15/2040 | 171,292 | 190,584 | ||||||
Series 2010-3653, Class B, | ||||||||
4.500%, 04/15/2030 | 97,767 | 107,380 | ||||||
Series 2010-3662, Class PJ, | ||||||||
5.000%, 04/15/2040 | 108,205 | 123,298 | ||||||
Series 2010-3664, Class DA, | ||||||||
4.000%, 11/15/2037 | 135,659 | 142,835 | ||||||
Series 2010-3704, Class DC, | ||||||||
4.000%, 11/15/2036 | 66,961 | 69,097 | ||||||
Series 2010-3737, Class GB, | ||||||||
4.500%, 04/15/2039 | 46,523 | 47,654 | ||||||
Series 2010-3747, Class CY, | ||||||||
4.500%, 10/15/2040 | 400,000 | 461,669 | ||||||
Series 2010-3753, Class PA, | ||||||||
3.500%, 09/15/2039 | 123,257 | 125,245 | ||||||
Series 2010-3762, Class WP, | ||||||||
4.000%, 12/15/2039 | 28,377 | 29,723 | ||||||
Series 2010-3770, Class GA, | ||||||||
4.500%, 10/15/2040 | 355,960 | 415,959 | ||||||
Series 2010-3770, Class JZ, | ||||||||
4.000%, 12/15/2040 | 10,651,261 | 11,913,141 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-3792, Class DF, | ||||||||
1M US L + 0.40%, 11/15/2040(a) | $ | 29,348 | $ | 29,222 | ||||
Series 2011-3798, Class PJ, | ||||||||
4.000%, 01/15/2041 | 81,185 | 90,574 | ||||||
Series 2011-3800, Class AF, | ||||||||
1M US L + 0.50%, 02/15/2041(a) | 26,603 | 27,011 | ||||||
Series 2011-3819, Class ZQ, | ||||||||
6.000%, 04/15/2036 | 22,451 | 26,667 | ||||||
Series 2011-3822, Class FY, | ||||||||
1M US L + 0.40%, 02/15/2033(a) | 20,050 | 20,235 | ||||||
Series 2011-3825, Class BP, | ||||||||
4.000%, 03/15/2041 | 148,442 | 160,337 | ||||||
Series 2011-3830, Class NB, | ||||||||
4.500%, 02/15/2039 | 92,418 | 95,871 | ||||||
Series 2011-3843, Class FE, | ||||||||
1M US L + 0.55%, 04/15/2041(a) | 61,516 | 62,622 | ||||||
Series 2011-3843, Class PZ, | ||||||||
5.000%, 04/15/2041 | 633,720 | 754,042 | ||||||
Series 2011-3852, Class QN, | ||||||||
27.21053% - 1M US L, 05/15/2041(a) | 67,735 | 74,487 | ||||||
Series 2011-3852, Class TP, | ||||||||
27.50% - 1M US L, 05/15/2041(a) | 40,106 | 43,923 | ||||||
Series 2011-3857, Class ZP, | ||||||||
5.000%, 05/15/2041 | 926,610 | 1,127,914 | ||||||
Series 2011-3862, Class MA, | ||||||||
5.000%, 04/15/2041 | 149,594 | 165,663 | ||||||
Series 2011-3891, Class BF, | ||||||||
1M US L + 0.55%, 07/15/2041(a) | 57,216 | 58,121 | ||||||
Series 2011-3894, Class ZA, | ||||||||
4.500%, 07/15/2041 | 172,524 | 196,101 | ||||||
Series 2011-3905, Class BZ, | ||||||||
3.000%, 08/15/2041 | 161,519 | 174,339 | ||||||
Series 2011-3910, Class JG, | ||||||||
2.750%, 12/15/2037 | 10,698 | 10,716 | ||||||
Series 2011-3919, Class DL, | ||||||||
4.000%, 08/15/2030 | 298,000 | 334,611 | ||||||
Series 2011-3935, Class JZ, | ||||||||
4.500%, 10/15/2041 | 990,128 | 1,166,728 | ||||||
Series 2011-3939, Class AZ, | ||||||||
4.000%, 03/15/2041 | 246,043 | 262,728 | ||||||
Series 2011-3939, Class BZ, | ||||||||
4.500%, 06/15/2041 | 1,109,425 | 1,193,053 | ||||||
Series 2011-3951, Class JB, | ||||||||
4.000%, 08/15/2041 | 13,772 | 13,856 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-3957, Class HZ, | ||||||||
4.000%, 11/15/2041 | $ | 929,657 | $ | 978,385 | ||||
Series 2011-3958, Class PJ, | ||||||||
4.500%, 09/15/2041 | 244,716 | 256,007 | ||||||
Series 2011-3959, Class MB, | ||||||||
4.500%, 11/15/2041 | 44,199 | 53,907 | ||||||
Series 2011-3963, Class JB, | ||||||||
4.500%, 11/15/2041 | 145,712 | 164,012 | ||||||
Series 2011-3969, Class JP, | ||||||||
4.500%, 09/15/2041 | 58,859 | 62,323 | ||||||
Series 2011-3970, Class HA, | ||||||||
3.000%, 02/15/2026 | 1,583 | 1,583 | ||||||
Series 2012-3984, Class DF, | ||||||||
1M US L + 0.55%, 01/15/2042(a) | 52,624 | 53,428 | ||||||
Series 2012-3989, Class JW, | ||||||||
3.500%, 01/15/2042 | 255,000 | 279,882 | ||||||
Series 2012-3997, Class EB, | ||||||||
3.500%, 12/15/2041 | 12,622 | 12,839 | ||||||
Series 2012-3997, Class EC, | ||||||||
3.500%, 02/15/2042 | 124,000 | 135,236 | ||||||
Series 2012-3997, Class FQ, | ||||||||
1M US L + 0.50%, 02/15/2042(a) | 58,244 | 58,850 | ||||||
Series 2012-3998, Class KG, | ||||||||
2.000%, 11/15/2026 | 138,587 | 141,643 | ||||||
Series 2012-4001, Class FM, | ||||||||
1M US L + 0.50%, 02/15/2042(a) | 38,246 | 38,676 | ||||||
Series 2012-4011, Class DB, | ||||||||
4.000%, 09/15/2041 | 236,286 | 261,068 | ||||||
Series 2012-4012, Class GC, | ||||||||
3.500%, 06/15/2040 | 63,000 | 65,674 | ||||||
Series 2012-4012, Class NF, | ||||||||
1M US L + 0.45%, 12/15/2038(a) | 8,370 | 8,381 | ||||||
Series 2012-4012, Class GJ, | ||||||||
2.500%, 06/15/2038 | 5,142 | 5,144 | ||||||
Series 2012-4020, Class PG, | ||||||||
2.500%, 03/15/2027 | 16,001 | 16,625 | ||||||
Series 2012-4037, Class CA, | ||||||||
3.000%, 04/15/2027 | 49,518 | 53,697 | ||||||
Series 2012-4039, Class LT, | ||||||||
3.500%, 05/15/2042 | 113,000 | 122,687 | ||||||
Series 2012-4050, Class ND, | ||||||||
2.500%, 09/15/2041 | 51,048 | 51,949 | ||||||
Series 2012-4062, Class MZ, | ||||||||
3.500%, 06/15/2042 | 137,363 | 147,437 | ||||||
Series 2012-4064, Class AY, | ||||||||
3.000%, 06/15/2027 | 48,000 | 51,706 |
Principal Amount | Value (Note 2) | |||||||
Series 2012-4068, Class PE, | ||||||||
3.000%, 06/15/2042 | $ | 224,000 | $ | 241,357 | ||||
Series 2012-4075, Class PB, | ||||||||
3.000%, 07/15/2042 | 42,000 | 46,453 | ||||||
Series 2012-4076, Class MV, | ||||||||
3.000%, 04/15/2031 | 69,000 | 72,856 | ||||||
Series 2012-4088, Class PB, | ||||||||
3.000%, 08/15/2042 | 113,000 | 118,980 | ||||||
Series 2012-4094, Class CW, | ||||||||
2.000%, 08/15/2042 | 380,386 | 395,324 | ||||||
Series 2012-4097, Class CU, | ||||||||
1.500%, 08/15/2027 | 25,000 | 25,400 | ||||||
Series 2012-4097, Class UF, | ||||||||
1M US L + 0.35%, 08/15/2032(a) | 78,415 | 78,225 | ||||||
Series 2012-4101, Class QN, | ||||||||
3.500%, 09/15/2042 | 288,539 | 313,109 | ||||||
Series 2012-4104, Class AJ, | ||||||||
1.500%, 09/15/2027 | 39,638 | 40,548 | ||||||
Series 2012-4120, Class TC, | ||||||||
1.500%, 10/15/2027 | 14,194 | 14,422 | ||||||
Series 2012-4122, Class BA, | ||||||||
3.126%, 05/15/2040 | 221,830 | 240,310 | ||||||
Series 2012-4133, Class TA, | ||||||||
3.000%, 11/15/2042 | 425,084 | 409,431 | ||||||
Series 2012-4141, Class PL, | ||||||||
2.500%, 12/15/2042 | 100,000 | 102,143 | ||||||
Series 2013-4160, Class HB, | ||||||||
2.500%, 12/15/2032 | 25,176 | 25,501 | ||||||
Series 2013-4170, Class FW, | ||||||||
1M US L + 0.95%, 01/15/2033(a) | 33,373 | 33,760 | ||||||
Series 2013-4176, Class YD, | ||||||||
3.000%, 03/15/2043 | 50,000 | 53,361 | ||||||
Series 2013-4183, Class ME, | ||||||||
2.000%, 02/15/2042 | 192,576 | 197,824 | ||||||
Series 2013-4185, Class PB, | ||||||||
3.000%, 03/15/2043 | 450,000 | 468,672 | ||||||
Series 2013-4199, Class YV, | ||||||||
3.500%, 05/15/2026 | 158,405 | 159,009 | ||||||
Series 2013-4203, Class DJ, | ||||||||
2.500%, 04/15/2033 | 75,917 | 79,382 | ||||||
Series 2013-4218, Class DG, | ||||||||
2.500%, 07/15/2042 | 215,656 | 224,481 | ||||||
Series 2013-4220, Class EH, | ||||||||
2.500%, 06/15/2028 | 62,197 | 64,474 | ||||||
Series 2013-4231, Class FD, | ||||||||
1M US L + 0.35%, 10/15/2032(a) | 20,981 | 20,739 | ||||||
Series 2013-4246, Class PB, | ||||||||
4.000%, 09/15/2043 | 493,003 | 560,424 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-4257, Class A, | ||||||||
2.500%, 10/15/2027 | $ | 47,480 | $ | 48,596 | ||||
Series 2013-4259, Class MG, | ||||||||
3.000%, 08/15/2041 | 28,685 | 29,046 | ||||||
Series 2013-4265, Class FD, | ||||||||
1M US L + 0.40%, 01/15/2035(a) | 83,075 | 83,771 | ||||||
Series 2014-4293, Class NM, | ||||||||
4.500%, 06/15/2043 | 44,740 | 48,175 | ||||||
Series 2014-4294, Class PF, | ||||||||
1M US L + 0.40%, 01/15/2044(a) | 20,243 | 20,404 | ||||||
Series 2014-4301, Class U, | ||||||||
3.500%, 07/15/2032 | 73,410 | 75,327 | ||||||
Series 2014-4302, Class DA, | ||||||||
3.000%, 07/15/2039 | 50,509 | 50,647 | ||||||
Series 2014-4319, Class PM, | ||||||||
3.000%, 03/15/2043 | 142,815 | 147,267 | ||||||
Series 2014-4320, Class AP, | ||||||||
3.500%, 07/15/2039 | 169,520 | 181,831 | ||||||
Series 2014-4324, Class AY, | ||||||||
3.000%, 04/15/2029 | 568,738 | 614,700 | ||||||
Series 2014-4333, Class PB, | ||||||||
2.500%, 10/15/2043 | 60,190 | 60,763 | ||||||
Series 2014-4337, Class VJ, | ||||||||
3.500%, 06/15/2027 | 30,324 | 31,573 | ||||||
Series 2014-4368, Class BE, | ||||||||
2.500%, 05/15/2031 | 89,178 | 89,690 | ||||||
Series 2014-4370, Class PC, | ||||||||
2.500%, 09/15/2041 | 65,534 | 66,690 | ||||||
Series 2015-4459, Class CA, | ||||||||
5.000%, 12/15/2034 | 34,801 | 38,409 | ||||||
Series 2015-4461, Class EA, | ||||||||
2.000%, 07/15/2037 | 133,635 | 137,335 | ||||||
Series 2015-4470, Class AQ, | ||||||||
3.000%, 06/15/2041 | 225,857 | 228,334 | ||||||
Series 2015-4498, Class JA, | ||||||||
2.500%, 04/15/2037 | 167,427 | 171,742 | ||||||
Series 2015-4531, Class PA, | ||||||||
3.500%, 05/15/2043 | 100,157 | 102,935 | ||||||
Series 2016-4554, Class MD, | ||||||||
3.000%, 10/15/2044 | 73,094 | 74,908 | ||||||
Series 2016-4555, Class CP, | ||||||||
3.000%, 04/15/2045 | 875,857 | 912,476 | ||||||
Series 2016-4564, Class QA, | ||||||||
3.000%, 07/15/2029 | 83,875 | 86,680 | ||||||
Series 2016-4590, Class AK, | ||||||||
3.500%, 08/15/2027 | 115,229 | 121,060 | ||||||
Series 2016-4630, Class EA, | ||||||||
3.000%, 09/15/2041 | 176,907 | 179,026 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-4639, Class HZ, | ||||||||
3.250%, 04/15/2053(c) | $ | 649,165 | $ | 725,412 | ||||
Series 2017-4646, Class D, | ||||||||
3.500%, 01/15/2042 | 7,185 | 7,180 | ||||||
Series 2017-4660, Class B, | ||||||||
3.000%, 04/15/2040 | 151 | 151 | ||||||
Series 2017-4661, Class CT, | ||||||||
3.000%, 04/15/2042 | 198,587 | 198,829 | ||||||
Series 2017-4664, Class UE, | ||||||||
3.000%, 05/15/2043 | 274,346 | 280,199 | ||||||
Series 2017-4664, Class LC, | ||||||||
3.500%, 09/15/2040 | 46,360 | 46,488 | ||||||
Series 2017-4667, Class LA, | ||||||||
3.500%, 01/15/2043 | 456,934 | 457,982 | ||||||
Series 2017-4672, Class QD, | ||||||||
3.000%, 08/15/2045 | 156,355 | 159,114 | ||||||
Series 2017-4673, Class KA, | ||||||||
3.500%, 08/15/2042 | 87,036 | 87,046 | ||||||
Series 2017-4705, Class A, | ||||||||
4.500%, 09/15/2042 | 53,872 | 54,853 | ||||||
Series 2017-4710, Class PA, | ||||||||
3.000%, 04/15/2045 | 252,833 | 260,572 | ||||||
Series 2017-4748, Class GA, | ||||||||
3.000%, 01/15/2045 | 165,503 | 169,579 | ||||||
Series 2018-4764, Class MA, | ||||||||
3.500%, 07/15/2043 | 30,911 | 30,893 | ||||||
Series 2018-4766, Class GD, | ||||||||
3.500%, 03/15/2044 | 1,610 | 1,614 | ||||||
Series 2018-4767, Class CA, | ||||||||
4.000%, 11/15/2045 | 96,705 | 98,729 | ||||||
Series 2018-4767, Class Z, | ||||||||
3.000%, 12/15/2047 | 34,342 | 34,864 | ||||||
Series 2018-4786, Class TB, | ||||||||
3.500%, 07/15/2044 | 130,705 | 131,175 | ||||||
Series 2018-4787, Class PY, | ||||||||
4.000%, 05/15/2048 | 85,605 | 91,297 | ||||||
Series 2018-4795, Class JA, | ||||||||
5.000%, 11/15/2045 | 137,048 | 137,863 | ||||||
Series 2018-4800, Class JA, | ||||||||
3.500%, 03/15/2047 | 321,906 | 326,421 | ||||||
Series 2018-4821, Class VA, | ||||||||
4.000%, 10/15/2029 | 116,982 | 123,018 | ||||||
Series 2018-4825, Class VA, | ||||||||
4.000%, 05/15/2029 | 39,258 | 39,321 | ||||||
Series 2018-4839, Class AE, | ||||||||
4.000%, 04/15/2051 | 395,556 | 434,217 | ||||||
Series 2018-4840, Class BK, | ||||||||
4.500%, 09/15/2046 | 106,863 | 109,644 | ||||||
Series 2018-4846, Class PA, | ||||||||
4.000%, 06/15/2047 | 30,203 | 31,187 |
Principal Amount | Value (Note 2) | |||||||
Series 2019-4863, Class AJ, | ||||||||
3.500%, 07/15/2038 | $ | 71,661 | $ | 78,771 | ||||
Series 2019-4924, Class GA, | ||||||||
3.000%, 08/25/2043 | 488,282 | 488,414 | ||||||
Series 2019-4927, Class GA, | ||||||||
3.000%, 12/25/2043 | 147,840 | 148,357 | ||||||
Series 2020-4949, Class EA, | ||||||||
3.000%, 08/25/2035 | 584,307 | 589,477 | ||||||
Series 2021-5092, Class BC, | ||||||||
2.500%, 06/25/2036 | 103,285 | 105,573 | ||||||
Series 2021-5118, Class DZ, | ||||||||
1.000%, 04/25/2051 | 1,419,746 | 1,410,166 | ||||||
Series 3588, Class CW, | ||||||||
2.540%, 10/25/2037(a) | 453,852 | 465,271 | ||||||
51,547,750 | ||||||||
Freddie Mac Whole Loan Securities Trust 2017-SC02 | ||||||||
Series 2017-SC02, Class 1A1, | ||||||||
3.000%, 05/25/2047 | 37,201 | 37,235 | ||||||
Ginnie Mae | ||||||||
Series 2002-72, Class FB, | ||||||||
1M US L + 0.40%, 10/20/2032(a) | 41,371 | 41,357 | ||||||
Series 2003-25, Class FC, | ||||||||
1M US L + 0.40%, 08/26/2023(a) | 108,037 | 108,229 | ||||||
Series 2003-98, Class FY, | ||||||||
1M US L + 0.35%, 09/20/2033(a) | 58,039 | 58,173 | ||||||
Series 2004-1, Class TE, | ||||||||
5.000%, 06/20/2033 | 35,298 | 38,535 | ||||||
Series 2004-15, Class AY, | ||||||||
5.500%, 02/20/2034 | 125,186 | 138,774 | ||||||
Series 2004-26, Class ED, | ||||||||
5.500%, 04/16/2034 | 98,518 | 110,634 | ||||||
Series 2004-34, Class QL, | ||||||||
5.500%, 05/16/2034 | 89,000 | 103,526 | ||||||
Series 2004-55, Class MC, | ||||||||
5.500%, 07/20/2034 | 44,670 | 50,541 | ||||||
Series 2004-7, Class Z, | ||||||||
5.500%, 01/16/2034 | 1,306,241 | 1,505,745 | ||||||
Series 2004-87, Class BC, | ||||||||
4.500%, 10/20/2034 | 20,185 | 21,766 | ||||||
Series 2005-11, Class PL, | ||||||||
5.000%, 02/20/2035 | 46,718 | 52,743 | ||||||
Series 2005-13, Class NB, | ||||||||
5.000%, 02/20/2035 | 17,292 | 19,395 | ||||||
Series 2005-13, Class BG, | ||||||||
5.000%, 02/20/2035 | 227,891 | 256,606 |
Principal Amount | Value (Note 2) | |||||||
Series 2005-3, Class QB, | ||||||||
5.000%, 01/16/2035 | $ | 128,694 | $ | 141,387 | ||||
Series 2005-3, Class JL, | ||||||||
5.000%, 12/16/2034 | 100,000 | 111,823 | ||||||
Series 2005-3, Class JM, | ||||||||
4.750%, 01/20/2035 | 83,408 | 92,105 | ||||||
Series 2005-3, Class OC, | ||||||||
5.000%, 01/20/2035 | 228,131 | 252,905 | ||||||
Series 2005-45, Class BF, | ||||||||
1M US L + 0.30%, 06/20/2035(a) | 51,558 | 51,681 | ||||||
Series 2005-49, Class B, | ||||||||
5.500%, 06/20/2035 | 68,764 | 78,416 | ||||||
Series 2005-51, Class DC, | ||||||||
5.000%, 07/20/2035 | 171,872 | 191,097 | ||||||
Series 2005-56, Class BD, | ||||||||
5.000%, 07/20/2035 | 62,607 | 70,767 | ||||||
Series 2005-56, Class JA, | ||||||||
5.000%, 05/17/2035 | 19,775 | 21,844 | ||||||
Series 2005-69, Class WD, | ||||||||
5.000%, 05/18/2035 | 67,321 | 74,378 | ||||||
Series 2005-73, Class PH, | ||||||||
5.000%, 09/20/2035 | 162,000 | 177,316 | ||||||
Series 2005-92, Class PB, | ||||||||
6.000%, 12/20/2035 | 55,941 | 64,701 | ||||||
Series 2006-10, Class PB, | ||||||||
5.500%, 03/20/2036 | 62,833 | 71,915 | ||||||
Series 2006-38, Class OH, | ||||||||
6.500%, 08/20/2036 | 28,000 | 32,718 | ||||||
Series 2007-18, Class PH, | ||||||||
5.500%, 03/20/2035 | 137,000 | 163,204 | ||||||
Series 2007-18, Class B, | ||||||||
5.500%, 05/20/2035 | 115,899 | 130,100 | ||||||
Series 2007-35, Class TE, | ||||||||
6.000%, 06/20/2037 | 150,972 | 172,962 | ||||||
Series 2007-35, Class NE, | ||||||||
6.000%, 06/16/2037 | 67,702 | 77,746 | ||||||
Series 2007-40, Class FY, | ||||||||
1M US L + 0.33%, 07/16/2037(a) | 52,255 | 51,821 | ||||||
Series 2007-44, Class PH, | ||||||||
6.000%, 07/20/2037 | 123,433 | 142,144 | ||||||
Series 2007-57, Class Z, | ||||||||
5.500%, 10/20/2037 | 552,915 | 683,388 | ||||||
Series 2007-6, Class LE, | ||||||||
5.500%, 02/20/2037 | 90,530 | 101,558 | ||||||
Series 2007-7, Class PG, | ||||||||
5.000%, 02/16/2037 | 38,108 | 42,831 | ||||||
Series 2007-79, Class FC, | ||||||||
1M US L + 0.44%, 12/20/2037(a) | 166,764 | 167,885 |
Principal Amount | Value (Note 2) | |||||||
Series 2008-13, Class FB, | ||||||||
1M US L + 0.50%, 02/20/2038(a) | $ | 34,603 | $ | 34,971 | ||||
Series 2008-20, Class CE, | ||||||||
5.500%, 06/16/2037 | 100,000 | 112,525 | ||||||
Series 2008-31, Class PC, | ||||||||
5.500%, 04/20/2038 | 75,003 | 84,507 | ||||||
Series 2008-33, Class PB, | ||||||||
5.500%, 04/20/2038 | 88,293 | 99,889 | ||||||
Series 2008-37, Class L, | ||||||||
6.000%, 04/20/2038 | 52,994 | 59,404 | ||||||
Series 2008-38, Class PL, | ||||||||
5.500%, 05/20/2038 | 79,799 | 90,440 | ||||||
Series 2008-38, Class PN, | ||||||||
5.500%, 05/20/2038 | 56,871 | 64,360 | ||||||
Series 2008-38, Class BG, | ||||||||
5.000%, 05/16/2038 | 88,893 | 98,928 | ||||||
Series 2008-40, Class PL, | ||||||||
5.250%, 05/16/2038 | 100,000 | 123,745 | ||||||
Series 2008-41, Class PE, | ||||||||
5.500%, 05/20/2038 | 80,223 | 91,104 | ||||||
Series 2008-47, Class ML, | ||||||||
5.250%, 06/16/2038 | 38,514 | 43,854 | ||||||
Series 2008-49, Class PB, | ||||||||
4.750%, 06/20/2038 | 39,374 | 43,255 | ||||||
Series 2008-50, Class KB, | ||||||||
6.000%, 06/20/2038 | 259,230 | 298,919 | ||||||
Series 2008-51, Class PH, | ||||||||
5.250%, 06/20/2038 | 64,799 | 71,965 | ||||||
Series 2008-51, Class FG, | ||||||||
1M US L + 0.77%, 06/16/2038(a) | 83,798 | 85,232 | ||||||
Series 2008-55, Class PL, | ||||||||
5.500%, 06/20/2038 | 42,850 | 48,118 | ||||||
Series 2008-58, Class PE, | ||||||||
5.500%, 07/16/2038 | 122,163 | 138,564 | ||||||
Series 2008-60, Class JP, | ||||||||
5.500%, 07/20/2038 | 78,000 | 89,525 | ||||||
Series 2008-60, Class JN, | ||||||||
5.500%, 07/20/2038 | 162,312 | 181,422 | ||||||
Series 2008-65, Class PG, | ||||||||
6.000%, 08/20/2038 | 217,989 | 246,148 | ||||||
Series 2008-66, Class FN, | ||||||||
1M US L + 0.95%, 08/20/2038(a) | 68,870 | 70,017 | ||||||
Series 2008-7, Class PQ, | ||||||||
5.000%, 02/20/2038 | 107,171 | 116,769 | ||||||
Series 2008-76, Class QE, | ||||||||
5.750%, 09/20/2038 | 58,000 | 68,627 |
Principal Amount | Value (Note 2) | |||||||
Series 2008-77, Class FC, | ||||||||
1M US L + 0.70%, 09/20/2038(a) | $ | 70,431 | $ | 71,199 | ||||
Series 2008-85, Class PG, | ||||||||
5.250%, 10/20/2038 | 46,596 | 46,682 | ||||||
Series 2008-89, Class JD, | ||||||||
6.000%, 08/20/2038 | 23,316 | 25,647 | ||||||
Series 2008-89, Class JC, | ||||||||
5.500%, 08/20/2038 | 59,432 | 64,781 | ||||||
Series 2008-9, Class FA, | ||||||||
1M US L + 0.50%, 02/20/2038(a) | 24,039 | 24,252 | ||||||
Series 2009-1, Class FA, | ||||||||
1M US L + 1.05%, 01/20/2039(a) | 98,426 | 100,435 | ||||||
Series 2009-10, Class PH, | ||||||||
4.500%, 02/20/2039 | 30,000 | 34,266 | ||||||
Series 2009-10, Class NB, | ||||||||
5.000%, 02/16/2039 | 103,619 | 117,782 | ||||||
Series 2009-118, Class PY, | ||||||||
5.000%, 12/16/2039 | 31,817 | 36,184 | ||||||
Series 2009-12, Class NB, | ||||||||
5.000%, 03/20/2039 | 80,002 | 88,290 | ||||||
Series 2009-13, Class E, | ||||||||
4.500%, 03/16/2039 | 134,113 | 148,508 | ||||||
Series 2009-15, Class FM, | ||||||||
1M US L + 1.04%, 03/20/2039(a) | 82,024 | 83,393 | ||||||
Series 2009-24, Class WB, | ||||||||
5.000%, 03/20/2039 | 151,113 | 166,902 | ||||||
Series 2009-40, Class AD, | ||||||||
4.500%, 06/20/2039 | 309,000 | 362,712 | ||||||
Series 2009-47, Class LT, | ||||||||
5.000%, 06/20/2039 | 148,370 | 166,991 | ||||||
Series 2009-55, Class FN, | ||||||||
1M US L + 1.00%, 07/20/2039(a) | 34,103 | 34,718 | ||||||
Series 2009-58, Class PA, | ||||||||
4.500%, 07/20/2039 | 123,770 | 136,538 | ||||||
Series 2009-61, Class MP, | ||||||||
5.000%, 08/20/2039 | 54,303 | 60,077 | ||||||
Series 2009-61, Class AP, | ||||||||
4.000%, 08/20/2039 | 59,669 | 64,396 | ||||||
Series 2009-65, Class QM, | ||||||||
3.500%, 12/20/2038 | 16,182 | 16,488 | ||||||
Series 2009-69, Class PH, | ||||||||
5.500%, 08/16/2039 | 92,000 | 112,128 | ||||||
Series 2009-75, Class GZ, | ||||||||
4.500%, 09/20/2039 | 142,894 | 157,416 | ||||||
Series 2009-76, Class JB, | ||||||||
4.500%, 07/20/2039 | 40,242 | 41,926 |
Principal Amount | Value (Note 2) | |||||||
Series 2009-83, Class TF, | ||||||||
1M US L + 0.90%, 08/20/2039(a) | $ | 41,393 | $ | 42,145 | ||||
Series 2009-94, Class FA, | ||||||||
1M US L + 0.70%, 10/16/2039(a) | 96,566 | 98,236 | ||||||
Series 2010-111, Class FA, | ||||||||
1M US L + 0.35%, 09/20/2040(a) | 66,048 | 66,365 | ||||||
Series 2010-116, Class PD, | ||||||||
4.000%, 12/20/2039 | 73,517 | 74,817 | ||||||
Series 2010-14, Class A, | ||||||||
4.500%, 06/16/2039 | 58,294 | 60,631 | ||||||
Series 2010-14, Class HA, | ||||||||
4.500%, 02/16/2040 | 202,371 | 224,941 | ||||||
Series 2010-157, Class OP, | ||||||||
–%, 12/20/2040(b) | 13,924 | 13,320 | ||||||
Series 2010-167, Class WL, | ||||||||
4.500%, 09/20/2040 | 305,000 | 351,828 | ||||||
Series 2010-169, Class JZ, | ||||||||
4.000%, 12/20/2040 | 363,747 | 391,031 | ||||||
Series 2010-19, Class GW, | ||||||||
4.750%, 02/20/2040 | 108,305 | 121,588 | ||||||
Series 2010-25, Class BL, | ||||||||
4.250%, 10/16/2039 | 49,473 | 50,684 | ||||||
Series 2010-62, Class AF, | ||||||||
1M US L + 0.45%, 04/16/2034(a) | 37,833 | 37,956 | ||||||
Series 2010-76, Class NC, | ||||||||
4.500%, 06/20/2040 | 156,000 | 172,172 | ||||||
Series 2010-84, Class YB, | ||||||||
4.000%, 07/20/2040 | 23,370 | 25,645 | ||||||
Series 2010-H01, Class FA, | ||||||||
1M US L + 0.82%, 01/20/2060(a) | 48,144 | 48,640 | ||||||
Series 2010-H10, Class FC, | ||||||||
1M US L + 1.00%, 05/20/2060(a) | 235,017 | 238,474 | ||||||
Series 2010-H20, Class AF, | ||||||||
1M US L + 0.33%, 10/20/2060(a) | 254,348 | 254,555 | ||||||
Series 2010-H22, Class FE, | ||||||||
1M US L + 0.35%, 05/20/2059(a) | 9,514 | 9,521 | ||||||
Series 2010-H27, Class FA, | ||||||||
1M US L + 0.38%, 12/20/2060(a) | 64,770 | 64,909 | ||||||
Series 2011-100, Class MY, | ||||||||
4.000%, 07/20/2041 | 141,199 | 156,073 | ||||||
Series 2011-128, Class MD, | ||||||||
4.000%, 10/20/2040 | 140,000 | 151,387 |
Principal Amount | Value (Note 2) | |||||||
Series 2011-19, Class MG, | ||||||||
3.000%, 06/16/2040 | $ | 2,147 | $ | 2,158 | ||||
Series 2011-43, Class ZQ, | ||||||||
5.500%, 01/16/2033 | 92,103 | 98,140 | ||||||
Series 2011-59, Class QC, | ||||||||
4.000%, 12/20/2040 | 124,189 | 132,520 | ||||||
Series 2011-66, Class UA, | ||||||||
4.000%, 05/16/2041 | 143,334 | 157,024 | ||||||
Series 2011-71, Class ZC, | ||||||||
5.500%, 07/16/2034 | 199,645 | 222,944 | ||||||
Series 2011-97, Class WA, | ||||||||
6.117%, 11/20/2038(a) | 59,264 | 69,449 | ||||||
Series 2011-H01, Class AF, | ||||||||
1M US L + 0.45%, 11/20/2060(a) | 253,845 | 254,760 | ||||||
Series 2011-H02, Class BA, | ||||||||
4.450%, 02/20/2061(a) | 9,371 | 9,577 | ||||||
Series 2011-H11, Class FA, | ||||||||
1M US L + 0.50%, 03/20/2061(a) | 90,664 | 91,099 | ||||||
Series 2011-H11, Class FB, | ||||||||
1M US L + 0.50%, 04/20/2061(a) | 139,853 | 140,460 | ||||||
Series 2011-H15, Class FA, | ||||||||
1M US L + 0.45%, 06/20/2061(a) | 62,055 | 62,277 | ||||||
Series 2012-32, Class PE, | ||||||||
3.500%, 03/16/2042 | 89,000 | 102,922 | ||||||
Series 2012-38, Class PL, | ||||||||
3.250%, 01/20/2041 | 100,000 | 103,431 | ||||||
Series 2012-51, Class VM, | ||||||||
3.500%, 04/16/2025 | 100,810 | 105,387 | ||||||
Series 2012-68, Class GE, | ||||||||
3.000%, 05/20/2042 | 11,075 | 11,405 | ||||||
Series 2012-76, Class GF, | ||||||||
1M US L + 0.30%, 06/16/2042(a) | 17,453 | 17,568 | ||||||
Series 2012-84, Class YC, | ||||||||
2.500%, 07/20/2042 | 8,660 | 8,512 | ||||||
Series 2012-H08, Class FC, | ||||||||
1M US L + 0.57%, 04/20/2062(a) | 695,018 | 698,871 | ||||||
Series 2012-H14, Class FK, | ||||||||
1M US L + 0.58%, 07/20/2062(a) | 197,381 | 198,404 | ||||||
Series 2012-H20, Class PT, | ||||||||
0.906%, 07/20/2062(a) | 100,136 | 100,029 | ||||||
Series 2012-H24, Class FE, | ||||||||
1M US L + 0.60%, 10/20/2062(a) | 3,511 | 3,539 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-100, Class MA, | ||||||||
3.500%, 02/20/2043 | $ | 87,118 | $ | 91,434 | ||||
Series 2013-115, Class PM, | ||||||||
4.000%, 08/20/2043 | 400,000 | 450,141 | ||||||
Series 2013-151, Class VA, | ||||||||
3.000%, 08/20/2043 | 85,601 | 85,709 | ||||||
Series 2013-22, Class GB, | ||||||||
2.500%, 08/20/2042 | 120,000 | 126,084 | ||||||
Series 2013-69, Class NA, | ||||||||
2.000%, 09/20/2042 | 186,224 | 194,522 | ||||||
Series 2013-98, Class KF, | ||||||||
1M US L + 0.30%, 11/20/2041(a) | 25,094 | 25,125 | ||||||
Series 2013-99, Class MF, | ||||||||
1M US L + 0.30%, 07/20/2043(a) | 99,541 | 100,048 | ||||||
Series 2013-H01, Class FA, | ||||||||
1.650%, 01/20/2063 | 9,159 | 9,193 | ||||||
Series 2013-H04, Class BA, | ||||||||
1.650%, 02/20/2063 | 18,192 | 18,332 | ||||||
Series 2013-H09, Class HA, | ||||||||
1.650%, 04/20/2063 | 23,736 | 23,894 | ||||||
Series 2013-H18, Class EA, | ||||||||
1M US L + 0.50%, 07/20/2063(a) | 102,844 | 103,196 | ||||||
Series 2014-53, Class JM, | ||||||||
7.059%, 04/20/2039(a) | 323,728 | 380,201 | ||||||
Series 2014-98, Class HE, | ||||||||
3.000%, 07/20/2044 | 53,984 | 57,197 | ||||||
Series 2014-H10, Class TA, | ||||||||
1M US L + 0.60%, 04/20/2064(a) | 381,602 | 386,100 | ||||||
Series 2014-H15, Class FA, | ||||||||
1M US L + 0.50%, 07/20/2064(a) | 26,912 | 27,099 | ||||||
Series 2014-H16, Class FL, | ||||||||
1M US L + 0.47%, 07/20/2064(a) | 486,146 | 487,917 | ||||||
Series 2015-190, Class LE, | ||||||||
3.500%, 06/20/2045 | 69,831 | 72,675 | ||||||
Series 2015-63, Class KA, | ||||||||
3.000%, 04/20/2040 | 33,494 | 35,345 | ||||||
Series 2015-65, Class MA, | ||||||||
3.000%, 12/20/2043 | 33,368 | 33,408 | ||||||
Series 2015-84, Class QA, | ||||||||
3.500%, 06/20/2045 | 394,456 | 429,519 | ||||||
Series 2015-H09, Class FA, | ||||||||
1M US L + 0.62%, 04/20/2065(a) | 271,674 | 273,985 |
Principal Amount | Value (Note 2) | |||||||
Series 2015-H12, Class FB, | ||||||||
1M US L + 0.60%, 05/20/2065(a) | $ | 107,429 | $ | 108,219 | ||||
Series 2015-H15, Class FC, | ||||||||
1M US L + 0.58%, 06/20/2065(a) | 143,246 | 144,345 | ||||||
Series 2015-H22, Class FC, | ||||||||
1M US L + 0.60%, 09/20/2065(a) | 61,460 | 61,967 | ||||||
Series 2015-H26, Class FG, | ||||||||
1M US L + 0.52%, 10/20/2065(a) | 320,229 | 322,136 | ||||||
Series 2015-H26, Class FA, | ||||||||
1M US L + 0.52%, 10/20/2065(a) | 64,444 | 64,946 | ||||||
Series 2015-H29, Class FA, | ||||||||
1M US L + 0.70%, 10/20/2065(a) | 7,959 | 8,009 | ||||||
Series 2015-H30, Class FE, | ||||||||
1M US L + 0.60%, 11/20/2065(a) | 67,056 | 67,763 | ||||||
Series 2015-H31, Class FT, | ||||||||
1M US L + 0.65%, 11/20/2065(a) | 113,683 | 114,362 | ||||||
Series 2015-H32, Class FH, | ||||||||
1M US L + 0.66%, 12/20/2065(a) | 228,038 | 230,842 | ||||||
Series 2016-116, Class GV, | ||||||||
3.000%, 05/20/2026 | 53,295 | 56,097 | ||||||
Series 2016-120, Class KA, | ||||||||
2.000%, 09/20/2046 | 11,079 | 11,378 | ||||||
Series 2016-82, Class BA, | ||||||||
3.000%, 09/20/2045 | 196,656 | 199,750 | ||||||
Series 2016-H06, Class FC, | ||||||||
1M US L + 0.92%, 02/20/2066(a) | 193,279 | 196,563 | ||||||
Series 2016-H08, Class FT, | ||||||||
1M US L + 0.72%, 02/20/2066(a) | 469,563 | 472,991 | ||||||
Series 2016-H11, Class F, | ||||||||
1M US L + 0.80%, 05/20/2066(a) | 671,839 | 681,684 | ||||||
Series 2016-H13, Class FT, | ||||||||
1M US L + 0.58%, 05/20/2066(a) | 36,569 | 36,710 | ||||||
Series 2016-H14, Class FA, | ||||||||
1M US L + 0.80%, 06/20/2066(a) | 171,568 | 174,103 | ||||||
Series 2016-H15, Class FA, | ||||||||
1M US L + 0.80%, 07/20/2066(a) | 743,205 | 753,492 |
Principal Amount | Value (Note 2) | |||||||
Series 2016-H17, Class FC, | ||||||||
1M US L + 0.83%, 08/20/2066(a) | $ | 212,073 | $ | 215,519 | ||||
Series 2016-H17, Class FK, | ||||||||
1M US L + 0.85%, 07/20/2066(a) | 98,159 | 99,823 | ||||||
Series 2016-H20, Class PT, | ||||||||
2.982%, 09/20/2066(a) | 694,843 | 739,410 | ||||||
Series 2016-H23, Class F, | ||||||||
1M US L + 0.75%, 10/20/2066(a) | 266,395 | 269,943 | ||||||
Series 2016-H24, Class FG, | ||||||||
1M US L + 0.75%, 10/20/2066(a) | 384,582 | 389,659 | ||||||
Series 2017-150, Class JE, | ||||||||
3.000%, 07/20/2047 | 143,137 | 147,295 | ||||||
Series 2017-36, Class MJ, | ||||||||
3.000%, 03/20/2047 | 77,138 | 81,433 | ||||||
Series 2017-56, Class AZ, | ||||||||
3.000%, 04/20/2047 | 108,507 | 118,694 | ||||||
Series 2017-73, Class JT, | ||||||||
2.750%, 09/20/2046 | 63,529 | 65,249 | ||||||
Series 2017-80, Class BJ, | ||||||||
3.000%, 03/20/2047 | 239,658 | 250,280 | ||||||
Series 2017-H06, Class FE, | ||||||||
1M US L + 0.55%, 02/20/2067(a) | 113,521 | 114,381 | ||||||
Series 2017-H15, Class FC, | ||||||||
1M US L + 0.47%, 06/20/2067(a) | 309,711 | 311,329 | ||||||
Series 2017-H16, Class PT, | ||||||||
4.679%, 05/20/2066(a) | 96,599 | 101,177 | ||||||
Series 2017-H17, Class FG, | ||||||||
1M US L + 0.50%, 08/20/2067(a) | 49,161 | 49,401 | ||||||
Series 2018-36, Class CZ, | ||||||||
4.000%, 03/20/2048 | 253,855 | 291,195 | ||||||
Series 2018-37, Class C, | ||||||||
2.500%, 01/20/2046 | 288,832 | 305,715 | ||||||
Series 2019-111, Class TE, | ||||||||
2.000%, 09/20/2049 | 138,659 | 142,096 | ||||||
Series 2019-29, Class JB, | ||||||||
4.500%, 12/20/2046 | 254,657 | 257,849 | ||||||
Series 2019-61, Class K, | ||||||||
3.500%, 07/20/2048 | 187,069 | 188,783 | ||||||
Series 2020-125, Class GA, | ||||||||
2.500%, 03/20/2050 | 603,542 | 626,505 | ||||||
Series 2020-125, Class GC, | ||||||||
2.500%, 08/20/2050 | 160,537 | 162,108 | ||||||
Series 2020-32, Class UM, | ||||||||
2.500%, 03/20/2050 | 2,196,045 | 2,289,514 |
Principal Amount | Value (Note 2) | |||||||
Series 2020-5, Class LC, | ||||||||
3.500%, 10/20/2049 | $ | 409,726 | $ | 421,450 | ||||
Series 2020-61, Class AB, | ||||||||
3.000%, 05/20/2048 | 426,958 | 437,136 | ||||||
Series 2020-62, Class PD, | ||||||||
3.000%, 05/20/2050 | 850,496 | 876,037 | ||||||
Series 2020-98, Class CE, | ||||||||
3.000%, 07/20/2050 | 2,889,308 | 2,978,048 | ||||||
34,488,619 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $130,984,449) | 134,048,468 |
Principal Amount | Value (Note 2) | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (3.07%) | ||||||||
Fannie Mae-Aces | ||||||||
Series 2013-M6, Class 1AC, | ||||||||
3.430%, 02/25/2043(a) | 18,183,545 | 20,617,583 | ||||||
Series 2016-M3, Class ASQ2, | ||||||||
2.263%, 02/25/2023 | 36,477 | 36,662 | ||||||
Series 2017-M15, Class A1, | ||||||||
2.959%, 09/25/2027(a) | 4,323,923 | 4,632,611 | ||||||
Series 2018-M12, Class A1, | ||||||||
3.546%, 08/25/2030 | 4,632,019 | 5,207,815 | ||||||
Series 2018-M13, Class A1, | ||||||||
3.697%, 03/25/2030(a) | 3,942,785 | 4,524,804 | ||||||
Series 2018-M8, Class A1, | ||||||||
3.325%, 06/25/2028(a) | 7,208,854 | 7,968,456 | ||||||
Series 2019-M10, Class A1, | ||||||||
2.000%, 04/25/2030 | 1,686,916 | 1,763,453 | ||||||
Series 2019-M14, Class A1, | ||||||||
2.304%, 06/25/2029 | 155,999 | 163,819 | ||||||
Series 2019-M24, Class 2XA, | ||||||||
1.149%, 03/25/2031(a) | 2,347,105 | 215,401 | ||||||
Series 2020-M10, Class X1, | ||||||||
1.794%, 12/25/2030(a)(d) | 804,802 | 108,799 | ||||||
Series 2020-M10, Class X4, | ||||||||
0.865%, 07/25/2032(a)(d) | 55,959,331 | 4,170,386 | ||||||
Series 2020-M13, Class X2, | ||||||||
1.295%, 09/25/2030(a)(d) | 2,419,179 | 208,651 | ||||||
49,618,440 | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series 2014-KF05, Class A, | ||||||||
1M US L + 0.35%, 09/25/2021(a) | 308,705 | 308,735 | ||||||
Series 2018-J19L, Class AFL, | ||||||||
1M US L + 0.23%, 11/25/2027(a) | 214,071 | 213,393 |
Principal Amount | Value (Note 2) | |||||||
Series 2019-KLU2, Class X1, | ||||||||
1.035%, 08/25/2029(a) | $ | 63,402,755 | $ | 4,329,527 | ||||
4,851,655 | ||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $53,582,629) | 54,470,095 |
Principal Amount | Value (Note 2) | |||||||
MORTGAGE-BACKED SECURITIES (5.61%) | ||||||||
Fannie Mae Pool | ||||||||
Series 2003-386375, | ||||||||
4.790%, 08/01/2028 | 873,470 | 872,999 | ||||||
Series 2005-843080, | ||||||||
6.000%, 12/01/2034 | 130,997 | 142,027 | ||||||
Series 2007-943003, | ||||||||
5.500%, 08/01/2047 | 93,469 | 101,280 | ||||||
Series 2009-463331, | ||||||||
5.250%, 08/01/2029 | 641,242 | 738,174 | ||||||
Series 2009-930895, | ||||||||
4.500%, 03/01/2039 | 182,839 | 196,954 | ||||||
Series 2009-931707, | ||||||||
4.500%, 08/01/2039 | 118,778 | 129,982 | ||||||
Series 2009-958348, | ||||||||
5.440%, 04/01/2027 | 139,544 | 155,008 | ||||||
Series 2009-958878, | ||||||||
5.750%, 07/01/2027 | 1,378,271 | 1,546,832 | ||||||
Series 2010-466566, | ||||||||
4.270%, 11/01/2025 | 246,854 | 275,521 | ||||||
Series 2011-467068, | ||||||||
6.130%, 01/01/2026 | 1,560,698 | 1,835,634 | ||||||
Series 2011-468477, | ||||||||
4.590%, 08/01/2026 | 414,344 | 471,028 | ||||||
Series 2011-469013, | ||||||||
5.470%, 08/01/2026 | 1,030,904 | 1,192,528 | ||||||
Series 2011-AH9290, | ||||||||
4.000%, 04/01/2041 | 49,754 | 52,472 | ||||||
Series 2012-470020, | ||||||||
4.200%, 01/01/2030 | 1,599,641 | 1,884,654 | ||||||
Series 2012-AM0279, | ||||||||
3.210%, 08/01/2027 | 302,516 | 310,516 | ||||||
Series 2012-AM1387, | ||||||||
3.260%, 11/01/2032 | 122,146 | 135,925 | ||||||
Series 2012-MA1214, | ||||||||
3.000%, 10/01/2042 | 946,364 | 980,951 | ||||||
Series 2013-AM 4236, | ||||||||
3.940%, 08/01/2025 | 223,661 | 248,530 | ||||||
Series 2013-AM3154, | ||||||||
3.250%, 05/01/2028 | 368,586 | 406,559 | ||||||
Series 2013-AM3162, | ||||||||
3.000%, 04/01/2025 | 765,624 | 789,360 |
Principal Amount | Value (Note 2) | |||||||
Series 2013-AM4329, | ||||||||
3.870%, 10/01/2025 | $ | 200,647 | $ | 223,850 | ||||
Series 2013-AM4781, | ||||||||
4.180%, 11/01/2028 | 1,239,959 | 1,429,936 | ||||||
Series 2013-AM4991, | ||||||||
3.970%, 12/01/2025 | 165,070 | 185,025 | ||||||
Series 2013-AR2289, | ||||||||
3.000%, 02/01/2033 | 295,405 | 312,782 | ||||||
Series 2013-AT9663, | ||||||||
2.500%, 07/01/2043 | 587,150 | 611,163 | ||||||
Series 2013-MA1586, | ||||||||
3.000%, 08/01/2043 | 212,931 | 228,642 | ||||||
Series 2014-AM4198, | ||||||||
3.550%, 03/01/2024 | 97,417 | 104,510 | ||||||
Series 2014-AM5473, | ||||||||
3.760%, 03/01/2024 | 545,000 | 588,411 | ||||||
Series 2014-AM7274, | ||||||||
3.000%, 12/01/2024 | 1,200,000 | 1,213,037 | ||||||
Series 2015-AM8666, | ||||||||
2.960%, 06/01/2030 | 181,860 | 201,540 | ||||||
Series 2015-AM8918, | ||||||||
3.250%, 09/01/2030 | 731,000 | 834,439 | ||||||
Series 2015-AM9173, | ||||||||
3.110%, 06/01/2027 | 245,917 | 247,410 | ||||||
Series 2015-AM9830, | ||||||||
3.190%, 09/01/2027 | 362,171 | 404,536 | ||||||
Series 2016-AL8405, | ||||||||
4.500%, 05/01/2041 | 241,064 | 259,210 | ||||||
Series 2016-AN0665, | ||||||||
3.070%, 02/01/2026 | 197,321 | 215,110 | ||||||
Series 2016-AN0774, | ||||||||
3.210%, 01/01/2026 | 179,665 | 197,249 | ||||||
Series 2016-AN2228, | ||||||||
2.520%, 08/01/2026 | 190,000 | 202,147 | ||||||
Series 2016-AN3542, | ||||||||
3.410%, 11/01/2046 | 367,861 | 409,379 | ||||||
Series 2016-AN3749, | ||||||||
2.520%, 12/01/2026 | 467,002 | 492,658 | ||||||
Series 2016-BC0943, | ||||||||
3.500%, 05/01/2046 | 464,259 | 504,688 | ||||||
Series 2017-AN4431, | ||||||||
3.220%, 01/01/2027 | 85,000 | 94,854 | ||||||
Series 2017-AN4469, | ||||||||
3.640%, 01/01/2029 | 698,776 | 800,992 | ||||||
Series 2017-AN4529, | ||||||||
3.620%, 01/01/2027 | 839,382 | 946,543 | ||||||
Series 2017-AN4606, | ||||||||
3.510%, 02/01/2027 | 801,863 | 879,477 | ||||||
Series 2017-AN4833, | ||||||||
3.320%, 04/01/2027 | 95,000 | 106,739 |
Principal Amount | Value (Note 2) | |||||||
Series 2017-AN5279, | ||||||||
3.340%, 04/01/2029 | $ | 465,227 | $ | 468,219 | ||||
Series 2017-AN5742, | ||||||||
3.190%, 05/01/2030 | 140,388 | 158,514 | ||||||
Series 2017-AN5796, | ||||||||
3.030%, 06/01/2027 | 219,710 | 236,860 | ||||||
Series 2017-AN6304, | ||||||||
3.100%, 10/01/2027 | 275,000 | 307,581 | ||||||
Series 2017-AN6670, | ||||||||
3.210%, 09/01/2027 | 1,944,848 | 2,039,623 | ||||||
Series 2017-AN7060, | ||||||||
2.930%, 10/01/2027 | 1,630,000 | 1,770,682 | ||||||
Series 2017-AN7234, | ||||||||
3.010%, 12/01/2027 | 1,000,000 | 1,071,399 | ||||||
Series 2017-AN7384, | ||||||||
2.880%, 12/01/2027 | 49,504 | 54,598 | ||||||
Series 2017-AN7547, | ||||||||
3.370%, 11/01/2027 | 1,123,833 | 1,178,600 | ||||||
Series 2017-AN7823, | ||||||||
2.890%, 12/01/2027 | 235,000 | 259,829 | ||||||
Series 2017-CA0522, | ||||||||
3.000%, 10/01/2047 | 415,606 | 429,331 | ||||||
Series 2018-109435, | ||||||||
3.890%, 08/01/2028 | 1,919,509 | 2,151,882 | ||||||
Series 2018-109741, | ||||||||
3.730%, 11/01/2025 | 11,350,000 | 12,217,015 | ||||||
Series 2018-387770, | ||||||||
3.625%, 07/01/2028 | 2,570,000 | 2,847,208 | ||||||
Series 2018-387853, | ||||||||
3.455%, 08/01/2025 | 175,000 | 184,311 | ||||||
Series 2018-387904, | ||||||||
3.840%, 08/01/2028 | 683,245 | 796,704 | ||||||
Series 2018-387983, | ||||||||
3.630%, 08/01/2028 | 2,000,000 | 2,215,227 | ||||||
Series 2018-AN8198, | ||||||||
3.140%, 01/01/2028 | 300,000 | 322,035 | ||||||
Series 2018-AN8272, | ||||||||
3.170%, 02/01/2028 | 100,000 | 107,651 | ||||||
Series 2018-AN8486, | ||||||||
3.330%, 04/01/2030 | 332,027 | 380,270 | ||||||
Series 2018-AN8493, | ||||||||
3.300%, 02/01/2030 | 432,808 | 483,168 | ||||||
Series 2018-AN8982, | ||||||||
3.440%, 05/01/2028 | 1,000,000 | 1,094,113 | ||||||
Series 2018-AN9038, | ||||||||
3.460%, 05/01/2028 | 135,000 | 147,920 | ||||||
Series 2018-AN924, | ||||||||
4.210%, 05/01/2033 | 631,578 | 730,426 | ||||||
Series 2018-AN9354, | ||||||||
3.640%, 06/01/2028 | 1,565,000 | 1,734,406 |
Principal Amount | Value (Note 2) | |||||||
Series 2018-AN9976, | ||||||||
3.960%, 02/01/2030 | $ | 470,000 | $ | 558,639 | ||||
Series 2018-BI0404, | ||||||||
4.100%, 11/01/2028 | 3,958,154 | 4,492,003 | ||||||
Series 2018-BL0119, | ||||||||
4.090%, 11/01/2026 | 789,583 | 904,969 | ||||||
Series 2018-BL0212, | ||||||||
3.820%, 07/01/2027 | 44,496 | 50,862 | ||||||
Series 2018-BL0550, | ||||||||
3.770%, 11/01/2028 | 660,000 | 768,084 | ||||||
Series 2018-BL0907, | ||||||||
3.880%, 12/01/2028 | 450,000 | 528,155 | ||||||
Series 2019-BI2928, | ||||||||
3.410%, 07/01/2027 | 832,296 | 937,669 | ||||||
Series 2019-BL1188, | ||||||||
3.480%, 02/01/2026 | 200,000 | 221,368 | ||||||
Series 2019-BL1300, | ||||||||
4.200%, 01/01/2029 | 1,375,000 | 1,580,015 | ||||||
Series 2019-BL1451, | ||||||||
3.760%, 02/01/2029 | 685,000 | 773,215 | ||||||
Series 2019-BL1567, | ||||||||
3.590%, 02/01/2029 | 1,775,000 | 1,988,940 | ||||||
Series 2019-BL1596, | ||||||||
3.480%, 03/01/2029 | 168,568 | 193,010 | ||||||
Series 2019-BL2236, | ||||||||
3.640%, 10/01/2029 | 1,100,000 | 1,261,605 | ||||||
Series 2019-BL2356, | ||||||||
3.020%, 05/01/2026 | 165,000 | 177,578 | ||||||
Series 2019-BL2460, | ||||||||
3.400%, 05/01/2029 | 590,419 | 652,756 | ||||||
Series 2019-BL3182, | ||||||||
2.980%, 07/01/2029 | 256,211 | 280,625 | ||||||
Series 2019-BM6011, | ||||||||
3.357%, 11/01/2026(a) | 168,751 | 186,611 | ||||||
Series 2019-BM6152, | ||||||||
3.500%, 06/01/2044 | 1,626,514 | 1,768,635 | ||||||
Series 2019-MA3784, | ||||||||
3.500%, 09/01/2049 | 3,973,712 | 4,140,801 | ||||||
79,014,373 | ||||||||
Freddie Mac Gold Pool | ||||||||
Series 2013-G80393, | ||||||||
5.000%, 08/20/2036 | 174,023 | 193,537 | ||||||
Series 2013-T65180, | ||||||||
3.000%, 11/01/2043 | 161,564 | 167,983 | ||||||
Series 2015-U49046, | ||||||||
4.000%, 02/01/2029 | 100,084 | 107,526 | ||||||
469,046 | ||||||||
Freddie Mac Pool |
Principal Amount | Value (Note 2) | |||||||
Series 2005-002936, Class FC, | ||||||||
1M US L + 0.40%, 03/15/2029(a) | $ | 28,639 | $ | 28,806 | ||||
Series 2017-WN2000, | ||||||||
2.700%, 08/01/2023 | 10,700,000 | 10,796,264 | ||||||
10,825,070 | ||||||||
Ginnie Mae II Pool | ||||||||
Series 2010-, | ||||||||
1M US L + 2.057%, 08/20/2060(a) | 455,341 | 480,758 | ||||||
Series 2012-, | ||||||||
3.500%, 03/20/2042 | 485,672 | 505,952 | ||||||
Series 2012-5302+, | ||||||||
3.500%, 02/20/2042 | 375,949 | 391,591 | ||||||
Series 2013-, | ||||||||
3.250%, 04/20/2033 | 445,489 | 468,536 | ||||||
3.500%, 04/20/2043 | 382,007 | 397,965 | ||||||
Series 2013-MA1149, | ||||||||
3.000%, 07/20/2043 | 18,602 | 19,270 | ||||||
Series 2016-MA3588, | ||||||||
3.500%, 04/20/2046 | 532,467 | 551,530 | ||||||
Series 2016-MA3793, | ||||||||
3.500%, 07/20/2046 | 1,362,289 | 1,411,067 | ||||||
Series 2016-MA3865, | ||||||||
3.500%, 08/20/2046 | 1,149,306 | 1,190,453 | ||||||
Series 2019-784688, | ||||||||
5.000%, 02/20/2049 | 3,194,018 | 3,457,059 | ||||||
Series 2019-MA5864, | ||||||||
3.000%, 04/20/2049 | 64,300 | 66,384 | ||||||
Series 2019-MA5920, | ||||||||
3.000%, 05/20/2049 | 38,898 | 40,159 | ||||||
Series 2019-MA5936, | ||||||||
6.500%, 05/20/2049 | 98,155 | 115,979 | ||||||
9,096,703 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $98,231,128) | 99,405,192 | |||||||
CORPORATE BONDS (56.76%) | ||||||||
Aerospace & Defense (2.53%) | ||||||||
Boeing Co. | ||||||||
4.51%, 05/01/2023 | 6,490,000 | 6,898,195 | ||||||
Teledyne Technologies, Inc. | ||||||||
0.65%, 04/01/2023 | 4,985,000 | 4,988,033 | ||||||
0.95%, 04/01/2024 | 4,985,000 | 4,990,723 | ||||||
1.60%, 04/01/2026 | 7,975,000 | 8,086,787 | ||||||
2.25%, 04/01/2028 | 9,970,000 | 10,323,399 | ||||||
TransDigm, Inc. | ||||||||
6.25%, 03/15/2026(e) | 5,000,000 | 5,250,000 | ||||||
8.00%, 12/15/2025(e) | 3,940,000 | 4,235,599 | ||||||
Total Aerospace & Defense | 44,772,736 |
Principal Amount | Value (Note 2) | |||||||
Airlines (1.72%) | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust | ||||||||
4.80%, 08/15/2027(e) | $ | 6,051,155 | $ | 6,734,703 | ||||
Alaska Airlines 2020-1 Class B Pass Through Trust | ||||||||
8.00%, 08/15/2025(e) | 5,898,208 | 6,586,075 | ||||||
British Airways 2020-1 Class A Pass Through Trust | ||||||||
4.25%, 11/15/2032(e) | 1,327,608 | 1,431,413 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00%, 05/01/2025(e) | 1,993,000 | 2,345,590 | ||||||
Southwest Airlines Co. | ||||||||
5.25%, 05/04/2025 | 7,540,000 | 8,614,298 | ||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||
Series 20-1 | ||||||||
5.88%, 10/15/2027 | 4,243,198 | 4,729,038 | ||||||
Total Airlines | 30,441,117 | |||||||
Apparel & Textile Products (0.21%) | ||||||||
Hanesbrands, Inc. | ||||||||
5.38%, 05/15/2025(e) | 3,500,000 | 3,685,710 | ||||||
Automobiles Manufacturing (3.60%) | ||||||||
Ford Motor Co. | ||||||||
5.29%, 12/08/2046 | 4,910,000 | 5,632,187 | ||||||
8.50%, 04/21/2023 | 500,000 | 555,740 | ||||||
9.00%, 04/22/2025 | 8,500,000 | 10,473,700 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.38%, 11/13/2025 | 6,500,000 | 6,794,083 | ||||||
3.81%, 10/12/2021 | 2,500,000 | 2,514,911 | ||||||
4.00%, 11/13/2030 | 6,965,000 | 7,375,030 | ||||||
5.88%, 08/02/2021 | 3,422,000 | 3,422,000 | ||||||
3M US L + 1.27%, 03/28/2022(a) | 1,000,000 | 997,048 | ||||||
General Motors Co. | ||||||||
5.00%, 04/01/2035 | 5,348,000 | 6,580,564 | ||||||
Nissan Motor Co., Ltd. | ||||||||
4.81%, 09/17/2030(e) | 15,300,000 | 17,490,221 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
0.75%, 11/23/2022(e) | 995,000 | 998,921 | ||||||
0.88%, 11/22/2023(e) | 995,000 | 1,000,598 | ||||||
Total Automobiles Manufacturing | 63,835,003 | |||||||
Banks (4.51%) | ||||||||
Associated Bank NA/Green Bay WI | ||||||||
4.25%, 01/15/2025 | 934,000 | 1,018,347 | ||||||
Bank of New Zealand | ||||||||
2.00%, 02/21/2025(e) | 7,375,000 | 7,658,642 | ||||||
CIT Group, Inc. | ||||||||
1D US SOFR + 3.83%, 06/19/2024(a) | 12,890,000 | 13,573,879 |
Principal Amount | Value (Note 2) | |||||||
Citizens Financial Group, Inc. | ||||||||
Series F | ||||||||
5Y US TI + 5.313%(a)(f) | $ | 3,000,000 | $ | 3,367,500 | ||||
Cooperatieve Rabobank UA | ||||||||
3.75%, 07/21/2026 | 4,500,000 | 4,982,351 | ||||||
3.95%, 11/09/2022 | 675,000 | 705,462 | ||||||
Danske Bank A/S | ||||||||
5.00%, 01/12/2022(e) | 4,625,000 | 4,714,831 | ||||||
5.38%, 01/12/2024(e) | 1,000,000 | 1,107,568 | ||||||
1Y US TI + 1.03%, 12/08/2023(a)(e) | 2,000,000 | 2,009,748 | ||||||
1Y US TI + 1.35%, 09/11/2026(a)(e) | 6,500,000 | 6,564,759 | ||||||
3M US L + 1.249%, 09/20/2022(a)(e) | 1,000,000 | 1,003,100 | ||||||
First Horizon Corp. | ||||||||
3.55%, 05/26/2023 | 2,500,000 | 2,626,508 | ||||||
FNB Corp. | ||||||||
2.20%, 02/24/2023 | 1,800,000 | 1,830,839 | ||||||
Intesa Sanpaolo SpA | ||||||||
4.20%, 06/01/2032(e) | 1,800,000 | 1,854,584 | ||||||
4.95%, 06/01/2042(e) | 1,800,000 | 1,875,909 | ||||||
SVB Financial Group | ||||||||
2.10%, 05/15/2028 | 4,976,000 | 5,113,279 | ||||||
Synovus Bank/Columbus GA | ||||||||
1D US SOFR + 0.95%, 02/10/2023(a) | 6,235,000 | 6,280,519 | ||||||
Truist Bank | ||||||||
5Y US TI + 1.15%, 09/17/2029(a) | 4,750,000 | 4,984,782 | ||||||
UniCredit SpA | ||||||||
1Y US TI + 2.30%, 09/22/2026(a)(e) | 8,500,000 | 8,679,961 | ||||||
Total Banks | 79,952,568 | |||||||
Cable & Satellite (1.96%) | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.25%, 02/01/2031(e) | 8,427,000 | 8,705,260 | ||||||
4.50%, 06/01/2033(e) | 5,978,000 | 6,230,959 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3.85%, 04/01/2061 | 4,980,000 | 4,984,225 | ||||||
5.05%, 03/30/2029 | 8,017,000 | 9,575,053 | ||||||
3M US L + 1.65%, 02/01/2024(a) | 500,000 | 513,904 | ||||||
Sirius XM Radio, Inc. | ||||||||
3.88%, 08/01/2022 | 4,770,000 | 4,770,000 | ||||||
Total Cable & Satellite | 34,779,401 | |||||||
Casinos & Gaming (0.68%) | ||||||||
MGM Resorts International | ||||||||
5.50%, 04/15/2027 | 3,985,000 | 4,335,480 | ||||||
7.75%, 03/15/2022 | 3,348,000 | 3,475,124 |
Principal Amount | Value (Note 2) | |||||||
Penn National Gaming, Inc. | ||||||||
5.63%, 01/15/2027(e) | $ | 4,095,000 | $ | 4,248,563 | ||||
Total Casinos & Gaming | 12,059,167 | |||||||
Chemicals (0.99%) | ||||||||
Kraton Polymers LLC / Kraton Polymers Capital Corp. | ||||||||
4.25%, 12/15/2025(e) | 3,685,000 | 3,786,338 | ||||||
LYB International Finance III LLC | ||||||||
3M US L + 1.00%, 10/01/2023(a) | 13,844,000 | 13,863,656 | ||||||
Total Chemicals | 17,649,994 | |||||||
Commercial Finance (1.22%) | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
6.50%, 07/15/2025 | 11,053,000 | 12,946,559 | ||||||
Avolon Holdings Funding, Ltd. | ||||||||
4.25%, 04/15/2026(e) | 3,100,000 | 3,391,972 | ||||||
Park Aerospace Holdings, Ltd. | ||||||||
4.50%, 03/15/2023(e) | 1,850,000 | 1,945,742 | ||||||
5.25%, 08/15/2022(e) | 3,283,000 | 3,425,760 | ||||||
Total Commercial Finance | 21,710,033 | |||||||
Construction Materials Manufacturing (0.29%) | ||||||||
Martin Marietta Materials, Inc. | ||||||||
2.40%, 07/15/2031 | 1,988,000 | 2,046,826 | ||||||
3.20%, 07/15/2051 | 2,982,000 | 3,058,341 | ||||||
Total Construction Materials Manufacturing | 5,105,167 | |||||||
Consumer Finance (3.12%) | ||||||||
Ally Financial, Inc. | ||||||||
1.45%, 10/02/2023 | 990,000 | 1,005,760 | ||||||
Series B | ||||||||
5Y US TI + 3.87%(a)(f) | 2,306,000 | 2,417,841 | ||||||
Series C | ||||||||
7Y US TI + 3.481%(a)(f) | 2,982,000 | 3,104,858 | ||||||
American Express Co. | ||||||||
Series B | ||||||||
3M US L + 3.43%(a)(f) | 8,530,000 | 8,591,966 | ||||||
Discover Financial Services | ||||||||
Series D | ||||||||
5Y US TI + 5.78%(a)(f) | 5,000,000 | 5,650,278 | ||||||
OneMain Finance Corp. | ||||||||
5.38%, 11/15/2029 | 3,500,000 | 3,851,995 | ||||||
8.88%, 06/01/2025 | 13,657,000 | 15,039,498 | ||||||
Quicken Loans LLC | ||||||||
3.63%, 03/01/2029(e) | 3,700,000 | 3,714,671 | ||||||
3.88%, 03/01/2031(e) | 2,000,000 | 2,044,800 | ||||||
5.25%, 01/15/2028(e) | 4,190,000 | 4,416,763 | ||||||
Synchrony Financial | ||||||||
3.70%, 08/04/2026 | 3,192,000 | 3,506,895 | ||||||
4.25%, 08/15/2024 | 1,700,000 | 1,857,315 | ||||||
Total Consumer Finance | 55,202,640 |
Principal Amount | Value (Note 2) | |||||||
Consumer Services (0.17%) | ||||||||
Block Financial LLC | ||||||||
2.50%, 07/15/2028 | $ | 2,982,000 | $ | 3,050,976 | ||||
Department Stores (0.73%) | ||||||||
Nordstrom, Inc. | ||||||||
4.25%, 08/01/2031 | 12,484,000 | 13,152,345 | ||||||
Diversified Banks (4.58%) | ||||||||
Bank of America Corp. | ||||||||
4.45%, 03/03/2026 | 6,532,000 | 7,402,871 | ||||||
1D US SOFR + 0.96%, 07/22/2027(a) | 12,344,000 | 12,564,354 | ||||||
1D US SOFR + 1.37%, 10/24/2031(a) | 15,418,000 | 15,216,061 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.25%, 06/22/2026 | 1,575,000 | 1,582,170 | ||||||
Citigroup, Inc. | ||||||||
4.30%, 11/20/2026 | 12,545,000 | 14,296,983 | ||||||
1D US SOFR + 1.17%, 05/01/2032(a) | 1,993,000 | 2,063,137 | ||||||
JPMorgan Chase & Co. | ||||||||
1D US SOFR + 0.535%, 06/01/2025(a) | 2,982,000 | 2,989,136 | ||||||
1D US SOFR + 1.25%, 04/22/2032(a) | 7,140,000 | 7,434,021 | ||||||
1D US SOFR + 1.46%, 04/22/2042(a) | 10,509,000 | 11,207,505 | ||||||
1D US SOFR + 2.04%, 04/22/2031(a) | 4,000,000 | 4,163,563 | ||||||
Natwest Group PLC | ||||||||
1Y US TI + 2.55%, 05/22/2028(a) | 2,000,000 | 2,136,874 | ||||||
Total Diversified Banks | 81,056,675 | |||||||
Electrical Equipment Manufacturing (0.25%) | ||||||||
Otis Worldwide Corp. | ||||||||
3M US L + 0.45%, 04/05/2023(a) | 900,000 | 900,067 | ||||||
Trimble, Inc. | ||||||||
4.75%, 12/01/2024 | 3,254,000 | 3,630,471 | ||||||
Total Electrical Equipment Manufacturing | 4,530,538 | |||||||
Exploration & Production (0.19%) | ||||||||
Diamondback Energy, Inc. | ||||||||
4.40%, 03/24/2051 | 2,990,000 | 3,423,254 | ||||||
Financial Services (5.39%) | ||||||||
Carlyle Finance Subsidiary LLC | ||||||||
3.50%, 09/19/2029(e) | 2,000,000 | 2,188,461 |
Principal Amount | Value (Note 2) | |||||||
Credit Suisse Group AG | ||||||||
3.57%, 01/09/2023(e) | $ | 9,021,000 | $ | 9,146,147 | ||||
1D US SOFR + 1.73%, 05/14/2032(a)(e) | 8,575,000 | 8,970,298 | ||||||
1D US SOFR + 2.044%, 06/05/2026(a)(e) | 3,000,000 | 3,090,422 | ||||||
5Y US TI + 4.82%(a)(e)(f) | 7,875,000 | 8,755,701 | ||||||
Goldman Sachs Group, Inc. | ||||||||
3.50%, 04/01/2025 | 7,006,000 | 7,610,700 | ||||||
1D US SOFR + 0.50%, 09/10/2024(a) | 3,976,000 | 3,978,742 | ||||||
Series DMTN | ||||||||
1D US SOFR + 1.248%, 07/21/2032(a) | 2,978,000 | 3,033,958 | ||||||
Morgan Stanley | ||||||||
1D US SOFR + 0.88%, 05/04/2027(a) | 3,986,000 | 4,047,602 | ||||||
1D US SOFR + 1.034%, 02/13/2032(a) | 19,850,000 | 19,318,130 | ||||||
Series GMTN | ||||||||
1D US SOFR + 0.858%, 07/20/2027(a) | 8,915,000 | 8,995,696 | ||||||
Nasdaq, Inc. | ||||||||
0.45%, 12/21/2022 | 2,990,000 | 2,991,592 | ||||||
Raymond James Financial, Inc. | ||||||||
4.65%, 04/01/2030 | 9,000,000 | 10,935,006 | ||||||
UBS AG/London | ||||||||
1.75%, 04/21/2022(e) | 1,500,000 | 1,515,078 | ||||||
UBS Group AG | ||||||||
1Y US TI + 0.83%, 07/30/2024(a)(e) | 1,000,000 | 1,007,712 | ||||||
Total Financial Services | 95,585,245 | |||||||
Food & Beverage (0.25%) | ||||||||
Constellation Brands, Inc. | ||||||||
2.25%, 08/01/2031 | 1,985,000 | 2,004,309 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.63%, 11/01/2024(e) | 2,490,000 | 2,558,363 | ||||||
Total Food & Beverage | 4,562,672 | |||||||
Health Care Facilities & Services (2.35%) | ||||||||
HCA, Inc. | ||||||||
2.38%, 07/15/2031 | 11,927,000 | 12,071,413 | ||||||
3.50%, 07/15/2051 | 6,958,000 | 7,199,488 | ||||||
4.13%, 06/15/2029 | 3,000,000 | 3,426,650 | ||||||
4.50%, 02/15/2027 | 3,680,000 | 4,204,609 | ||||||
5.25%, 04/15/2025 | 1,737,000 | 1,994,782 | ||||||
5.25%, 06/15/2049 | 3,110,000 | 4,085,366 | ||||||
Jaguar Holding Co. II / PPD Development LP | ||||||||
4.63%, 06/15/2025(e) | 8,300,000 | 8,700,932 | ||||||
Total Health Care Facilities & Services | 41,683,240 | |||||||
Homebuilders (0.52%) | ||||||||
Shea Homes LP / Shea Homes Funding Corp. | ||||||||
4.75%, 04/01/2029(e) | 3,500,000 | 3,600,275 |
Principal Amount | Value (Note 2) | |||||||
Tri Pointe Homes, Inc. | ||||||||
5.70%, 06/15/2028 | $ | 5,000,000 | $ | 5,544,375 | ||||
Total Homebuilders | 9,144,650 | |||||||
Medical Equipment & Devices Manufacturing (0.12%) | ||||||||
STERIS Irish FinCo UnLtd Co. | ||||||||
2.70%, 03/15/2031 | 1,993,000 | 2,071,796 | ||||||
Metals & Mining (0.58%) | ||||||||
Steel Dynamics, Inc. | ||||||||
5.00%, 12/15/2026 | 9,805,000 | 10,220,150 | ||||||
Pharmaceuticals (3.80%) | ||||||||
AbbVie, Inc. | ||||||||
2.15%, 11/19/2021 | 3,250,000 | 3,269,170 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.13%, 04/15/2025(e) | 18,458,000 | 18,861,768 | ||||||
Elanco Animal Health, Inc. | ||||||||
4.91%, 08/27/2021 | 4,724,000 | 4,748,022 | ||||||
Organon & Co. / Organon Foreign Debt Co-Issuer BV | ||||||||
4.13%, 04/30/2028(e) | 15,322,000 | 15,731,327 | ||||||
5.13%, 04/30/2031(e) | 7,574,000 | 7,810,688 | ||||||
Viatris, Inc. | ||||||||
1.13%, 06/22/2022(e) | 16,829,000 | 16,930,825 | ||||||
Total Pharmaceuticals | 67,351,800 | |||||||
Pipeline (4.72%) | ||||||||
Buckeye Partners LP | ||||||||
4.13%, 12/01/2027 | 5,626,000 | 5,757,789 | ||||||
4.15%, 07/01/2023 | 3,800,000 | 3,937,750 | ||||||
4.35%, 10/15/2024 | 2,440,000 | 2,563,525 | ||||||
4.50%, 03/01/2028(e) | 4,270,000 | 4,348,846 | ||||||
5.60%, 10/15/2044 | 2,828,000 | 2,803,269 | ||||||
Energy Transfer LP | ||||||||
3.45%, 01/15/2023 | 2,027,000 | 2,094,228 | ||||||
4.20%, 04/15/2027 | 2,215,000 | 2,477,606 | ||||||
Series B | ||||||||
3M US L + 4.16%(a)(f) | 2,506,000 | 2,471,292 | ||||||
Series F | ||||||||
5Y US TI + 5.134%(a)(f) | 2,985,000 | 2,994,254 | ||||||
Flex Intermediate Holdco LLC | ||||||||
3.36%, 06/30/2031(e) | 12,936,000 | 13,325,858 | ||||||
4.32%, 12/30/2039(e) | 8,561,000 | 9,021,504 | ||||||
Midwest Connector Capital Co. LLC | ||||||||
3.63%, 04/01/2022(e) | 9,960,000 | 10,110,180 | ||||||
3.90%, 04/01/2024(e) | 4,975,000 | 5,215,742 | ||||||
4.63%, 04/01/2029(e) | 2,001,000 | 2,153,432 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
6.88%, 01/15/2029 | 3,763,000 | 4,231,475 |
Principal Amount | Value (Note 2) | |||||||
Western Midstream Operating LP | ||||||||
4.35%, 02/01/2025 | $ | 7,165,000 | $ | 7,514,939 | ||||
3M US L + 2.10%, 01/13/2023(a) | 2,630,000 | 2,616,285 | ||||||
Total Pipeline | 83,637,974 | |||||||
Power Generation (1.43%) | ||||||||
Alexander Funding Trust | ||||||||
1.84%, 11/15/2023(e) | 5,975,000 | 6,080,108 | ||||||
NRG Energy, Inc. | ||||||||
2.00%, 12/02/2025(e) | 4,530,000 | 4,664,837 | ||||||
2.45%, 12/02/2027(e) | 5,455,000 | 5,582,588 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 09/01/2026(e) | 8,626,000 | 8,895,605 | ||||||
Total Power Generation | 25,223,138 | |||||||
Property & Casualty Insurance (0.12%) | ||||||||
Fairfax US, Inc. | ||||||||
4.88%, 08/13/2024(e) | 2,000,000 | 2,193,484 | ||||||
Publishing & Broadcasting (1.04%) | ||||||||
Nexstar Media, Inc. | ||||||||
4.75%, 11/01/2028(e) | 8,000,000 | 8,259,960 | ||||||
Scripps Escrow II, Inc. | ||||||||
3.88%, 01/15/2029(e) | 9,960,000 | 9,977,379 | ||||||
Total Publishing & Broadcasting | 18,237,339 | |||||||
Railroad (0.22%) | ||||||||
Westinghouse Air Brake Technologies Corp. | ||||||||
4.95%, 09/15/2028 | 3,304,000 | 3,879,326 | ||||||
Real Estate (0.67%) | ||||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75%, 05/15/2028(e) | 2,000,000 | 2,153,720 | ||||||
Howard Hughes Corp. | ||||||||
4.13%, 02/01/2029(e) | 3,840,000 | 3,812,832 | ||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc. | ||||||||
4.63%, 06/15/2025(e) | 5,500,000 | 5,860,058 | ||||||
Total Real Estate | 11,826,610 | |||||||
Refining & Marketing (1.60%) | ||||||||
HollyFrontier Corp. | ||||||||
4.50%, 10/01/2030 | 4,975,000 | 5,362,293 | ||||||
5.88%, 04/01/2026 | 5,044,000 | 5,846,833 | ||||||
Valero Energy Corp. | ||||||||
3M US L + 1.15%, 09/15/2023(a) | 17,005,000 | 17,024,456 | ||||||
Total Refining & Marketing | 28,233,582 | |||||||
Restaurants (0.46%) | ||||||||
Yum! Brands, Inc. | ||||||||
7.75%, 04/01/2025(e) | 7,437,000 | 8,066,245 |
Principal Amount | Value (Note 2) | |||||||
Retail - Consumer Discretionary (0.56%) | ||||||||
Gap, Inc. | ||||||||
8.63%, 05/15/2025(e) | $ | 7,949,000 | $ | 8,713,614 | ||||
8.88%, 05/15/2027(e) | 1,000,000 | 1,156,250 | ||||||
Total Retail - Consumer Discretionary | 9,869,864 | |||||||
Semiconductors (0.66%) | ||||||||
Marvell Technology, Inc. | ||||||||
1.65%, 04/15/2026(e) | 2,770,000 | 2,793,527 | ||||||
2.45%, 04/15/2028(e) | 1,843,000 | 1,908,053 | ||||||
2.95%, 04/15/2031(e) | 2,770,000 | 2,897,187 | ||||||
Microchip Technology, Inc. | ||||||||
0.97%, 02/15/2024(e) | 3,985,000 | 3,994,086 | ||||||
Total Semiconductors | 11,592,853 | |||||||
Software & Services (1.72%) | ||||||||
Black Knight InfoServ LLC | ||||||||
3.63%, 09/01/2028(e) | 7,931,000 | 7,957,966 | ||||||
Booz Allen Hamilton, Inc. | ||||||||
3.88%, 09/01/2028(e) | 2,500,000 | 2,553,550 | ||||||
CoStar Group, Inc. | ||||||||
2.80%, 07/15/2030(e) | 10,000,000 | 10,346,311 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.50%, 07/15/2029(e) | 1,988,000 | 2,005,395 | ||||||
4.75%, 07/15/2031(e) | 3,976,000 | 4,015,283 | ||||||
Roper Technologies, Inc. | ||||||||
0.45%, 08/15/2022 | 1,635,000 | 1,637,065 | ||||||
VMware, Inc. | ||||||||
2.20%, 08/15/2031 | 1,990,000 | 1,989,346 | ||||||
Total Software & Services | 30,504,916 | |||||||
Supermarkets & Pharmacies (0.36%) | ||||||||
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC | ||||||||
4.63%, 01/15/2027(e) | 2,990,000 | 3,167,158 | ||||||
Kroger Co. | ||||||||
2.65%, 10/15/2026 | 2,860,000 | 3,057,236 | ||||||
Total Supermarkets & Pharmacies | 6,224,394 | |||||||
Transportation & Logistics (0.44%) | ||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | ||||||||
1.88%, 02/20/2034 | 7,694,623 | 7,738,848 | ||||||
Utilities (2.09%) | ||||||||
Atmos Energy Corp. | ||||||||
3M US L + 0.38%, 03/09/2023(a) | 1,993,000 | 1,993,563 | ||||||
Dominion Energy, Inc. | ||||||||
2.72%, 08/15/2021(c) | 2,300,000 | 2,301,012 | ||||||
3.07%, 08/15/2024(c) | 1,500,000 | 1,597,609 | ||||||
Edison International | ||||||||
Series A | ||||||||
5Y US TI + 4.70%(a)(f) | 2,638,000 | 2,679,219 |
Principal Amount | Value (Note 2) | |||||||
Exelon Corp. | ||||||||
3.50%, 06/01/2022 | $ | 2,673,000 | $ | 2,736,295 | ||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.40%, 09/01/2021 | 1,000,000 | 1,001,711 | ||||||
ONE Gas, Inc. | ||||||||
0.85%, 03/11/2023 | 6,975,000 | 6,977,239 | ||||||
1.10%, 03/11/2024 | 2,610,000 | 2,610,829 | ||||||
Pacific Gas and Electric Co. | ||||||||
1.37%, 03/10/2023 | 3,990,000 | 3,987,957 | ||||||
3M US L + 1.38%, 11/15/2021(a) | 8,165,000 | 8,174,269 | ||||||
Southern California Edison Co. | ||||||||
1.10%, 04/01/2024 | 2,990,000 | 3,014,137 | ||||||
Total Utilities | 37,073,840 | |||||||
Waste & Environment Services & Equipment (0.31%) | ||||||||
GFL Environmental, Inc. | ||||||||
3.75%, 08/01/2025(e) | 1,000,000 | 1,028,750 | ||||||
4.25%, 06/01/2025(e) | 4,254,000 | 4,424,160 | ||||||
Total Waste & Environment Services & Equipment | 5,452,910 | |||||||
Wireless Telecommunications Services (0.54%) | ||||||||
AT&T, Inc. | ||||||||
1.70%, 03/25/2026 | 1,995,000 | 2,026,395 | ||||||
Sprint Corp. | ||||||||
7.88%, 09/15/2023 | 6,792,000 | 7,692,959 | ||||||
Total Wireless Telecommunications Services | 9,719,354 | |||||||
Wireline Telecommunications Services (0.06%) | ||||||||
NTT Finance Corp. | ||||||||
0.37%, 03/03/2023(e) | 996,000 | 996,800 | ||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $973,593,608) | 1,005,498,354 | |||||||
GOVERNMENT BONDS (25.42%) | ||||||||
U.S. Treasury Bonds (25.42%) | ||||||||
United States Treasury Bonds | ||||||||
0.88%, 11/15/2030 | 16,073,000 | 15,609,646 | ||||||
1.13%, 02/15/2031 | 39,018,000 | 38,685,738 | ||||||
1.38%, 11/15/2040 | 21,538,000 | 20,016,879 | ||||||
1.38%, 08/15/2050 | 31,128,000 | 27,350,082 | ||||||
1.88%, 02/15/2051 | 8,555,000 | 8,496,853 | ||||||
2.25%, 05/15/2041 | 8,165,000 | 8,772,910 | ||||||
2.38%, 05/15/2051 | 33,310,000 | 36,961,088 |
Principal Amount | Value (Note 2) | |||||||
United States Treasury Notes | ||||||||
0.13%, 01/31/2023 | $ | 19,906,000 | $ | 19,906,000 | ||||
0.13%, 04/30/2023 | 17,143,000 | 17,134,629 | ||||||
0.13%, 05/31/2023 | 43,754,000 | 43,726,654 | ||||||
0.13%, 06/30/2023 | 10,000,000 | 9,993,164 | ||||||
0.13%, 12/15/2023 | 33,353,000 | 33,267,012 | ||||||
0.50%, 02/28/2026 | 50,448,000 | 50,132,699 | ||||||
0.63%, 08/15/2030 | 45,411,000 | 43,222,935 | ||||||
0.75%, 03/31/2026 | 37,305,000 | 37,478,410 | ||||||
0.75%, 04/30/2026 | 17,345,000 | 17,418,513 | ||||||
1.25%, 05/31/2028 | 17,186,000 | 17,494,811 | ||||||
1.63%, 05/15/2031 | 4,672,000 | 4,843,915 | ||||||
Total U.S. Treasury Bonds | 450,511,938 | |||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $443,720,978) | 450,511,938 |
Shares | Value (Note 2) | |||||||
PREFERRED STOCK (1.17%) | ||||||||
Consumer Discretionary (0.51%) | ||||||||
Retail - Consumer Discretionary (0.51%) | ||||||||
Qurate Retail, Inc. | 83,200 | 9,025,536 | ||||||
TOTAL Consumer Discretionary | 9,025,536 | |||||||
Financials (0.66%) | ||||||||
Banks (0.66%) | ||||||||
Bank of Hawaii, Series A(f) | 367,000 | 9,516,310 | ||||||
First Republic Bank(f) | 86,350 | 2,158,750 | ||||||
11,675,060 | ||||||||
TOTAL Financials | 11,675,060 | |||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $19,652,159) | 20,700,596 |
7-Day Yield | Shares | Value (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (0.43%) | ||||||||||||
Money Market Fund (0.43%) | ||||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 0.030 | % | 7,649,659 | 7,649,659 | ||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $7,649,659) | 7,649,659 |
Value (Note 2) | ||||||||
TOTAL INVESTMENTS (100.02%) | ||||||||
(Cost $1,727,414,610) | $ | 1,772,284,302 | ||||||
Liabilities In Excess Of Other Assets (-0.02%) | (327,075 | ) | ||||||
NET ASSETS (100.00%) | $ | 1,771,957,227 |
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TI – Treasury Index
Reference Rates:
1M US L - 1 Month LIBOR as of July 31, 2021 was 0.09%
3M US L - 3 Month LIBOR as of July 31, 2021 was 0.12%
1D US SOFR - 1 Day SOFR as of July 31, 2021 was 0.05%
1Y US TI - 1 Year US Treasury Index as of July 31, 2021 was 0.07%
5Y US TI - 5 Year US Treasury Index as of July 31, 2021 was 0.69%
7Y US TI - 7 Year US Treasury Index as of July 31, 2021 was 1.00%
(a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of July 31, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date. |
(b) | Issued with zero coupon. |
(c) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of July 31, 2021. |
(d) | Interest only security. |
(e) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of July 31, 2021, the aggregate market value of those securities was $403,687,225, representing 22.78% of net assets. |
(f) | Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
See notes to quarterly statement of investments.
ALPS | Smith Credit Opportunities Fund |
STATEMENT OF INVESTMENTS |
July 31, 2021 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (0.34%) | ||||||||
Communications (0.13%) | ||||||||
Telecommunications (0.13%) | ||||||||
AT&T, Inc. | 8,156 | $ | 228,776 | |||||
TOTAL Communications | 228,776 | |||||||
Utilities (0.21%) | ||||||||
Utilities (0.21%) | ||||||||
Vistra Corp. | 18,420 | 352,743 | ||||||
TOTAL Utilities | 352,743 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $564,492) | 581,519 |
Shares | (Note 2) | |||||||
EXCHANGE TRADED FUNDS (3.41%) | ||||||||
Invesco Senior Loan ETF | 262,425 | 5,781,223 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $5,822,169) | 5,781,223 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (0.46%) | ||||||||
Ginnie Mae | ||||||||
Series 2011-H05, Class FB, | ||||||||
1M US L + 0.50%, 12/20/2060(a) | $ | 34,376 | $ | 34,552 | ||||
Series 2011-H14, Class FC, | ||||||||
1M US L + 0.50%, 05/20/2061(a) | 81,659 | 82,024 | ||||||
Series 2012-H20, Class BA, | ||||||||
1M US L + 0.56%, 09/20/2062(a) | 65,068 | 65,358 | ||||||
Series 2012-H29, Class SA, | ||||||||
1M US L + 0.515%, 10/20/2062(a) | 61,141 | 61,517 | ||||||
Series 2013-H07, Class GA, | ||||||||
1M US L + 0.47%, 03/20/2063(a) | 57,225 | 57,406 | ||||||
Series 2013-H10, Class FA, | ||||||||
1M US L + 0.40%, 03/20/2063(a) | 27,771 | 27,834 | ||||||
Series 2013-H22, Class FT, | ||||||||
1Y US TI + 0.65%, 04/20/2063(a) | 37,732 | 37,607 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Series 2013-H23, Class FA, | ||||||||
1M US L + 1.30%, 09/20/2063(a) | $ | 48,384 | $ | 49,149 | ||||
Series 2014-H03, Class FA, | ||||||||
1M US L + 0.60%, 01/20/2064(a) | 32,135 | 32,317 | ||||||
Series 2015-H29, Class FL, | ||||||||
1M US L + 0.60%, 11/20/2065(a) | 78,130 | 78,800 | ||||||
Series 2016-H09, Class FA, | ||||||||
1M US L + 0.65%, 03/20/2066(a) | 57,306 | 57,986 | ||||||
Series 2018-H07, Class FE, | ||||||||
1M US L + 0.35%, 02/20/2068(a) | 105,045 | 105,158 | ||||||
Series 2020-H09, Class NF, | ||||||||
1M US L + 1.25%, 04/20/2070(a) | 81,242 | 83,903 | ||||||
773,611 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $751,082) | 773,611 |
Value | ||||||||
Shares | (Note 2) | |||||||
CORPORATE BONDS (83.68%) | ||||||||
Advertising & Marketing (1.32%) | ||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | ||||||||
4.25%, 01/15/2029(b) | 900,000 | 904,572 | ||||||
5.00%, 08/15/2027(b) | 1,300,000 | 1,327,716 | ||||||
Total Advertising & Marketing | 2,232,288 | |||||||
Aerospace & Defense (1.25%) | ||||||||
Boeing Co. | ||||||||
2.20%, 02/04/2026 | 1,575,000 | 1,589,603 | ||||||
4.51%, 05/01/2023 | 500,000 | 531,448 | ||||||
Total Aerospace & Defense | 2,121,051 | |||||||
Airlines (4.32%) | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust | ||||||||
4.80%, 08/15/2027(b) | 600,504 | 668,337 | ||||||
Alaska Airlines 2020-1 Class B Pass Through Trust | ||||||||
8.00%, 08/15/2025(b) | 1,487,209 | 1,660,652 | ||||||
British Airways 2020-1 Class A Pass Through Trust | ||||||||
4.25%, 11/15/2032(b) | 1,138,542 | 1,227,564 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00%, 05/01/2025(b) | 1,415,000 | 1,665,334 | ||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||
Series 20-1 | ||||||||
5.88%, 10/15/2027 | 1,901,324 | 2,119,023 | ||||||
Total Airlines | 7,340,910 |
Value | ||||||||
Shares | (Note 2) | |||||||
Automobiles Manufacturing (4.32%) | ||||||||
Ford Motor Co. | ||||||||
5.29%, 12/08/2046 | $ | 300,000 | $ | 344,126 | ||||
8.50%, 04/21/2023 | 370,000 | 411,248 | ||||||
9.00%, 04/22/2025 | 750,000 | 924,150 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.66%, 09/08/2024 | 450,000 | 470,844 | ||||||
4.00%, 11/13/2030 | 450,000 | 476,492 | ||||||
General Motors Co. | ||||||||
5.00%, 04/01/2035 | 905,000 | 1,113,576 | ||||||
5.40%, 10/02/2023 | 1,000,000 | 1,097,281 | ||||||
Nissan Motor Co., Ltd. | ||||||||
4.81%, 09/17/2030(b) | 2,175,000 | 2,486,354 | ||||||
Total Automobiles Manufacturing | 7,324,071 | |||||||
Banks (1.99%) | ||||||||
Synovus Bank/Columbus GA | ||||||||
5Y US TI + 3.63%, 10/29/2030(a) | 1,250,000 | 1,330,632 | ||||||
UniCredit SpA | ||||||||
5Y US TI + 4.75%, 06/30/2035(a)(b) | 1,850,000 | 2,046,031 | ||||||
Total Banks | 3,376,663 | |||||||
Cable & Satellite (1.21%) | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.50%, 05/01/2032 | 1,950,000 | 2,046,944 | ||||||
Casinos & Gaming (4.19%) | ||||||||
Boyd Gaming Corp. | ||||||||
4.75%, 12/01/2027 | 1,500,000 | 1,556,250 | ||||||
8.63%, 06/01/2025(b) | 575,000 | 628,185 | ||||||
International Game Technology PLC | ||||||||
4.13%, 04/15/2026(b) | 1,000,000 | 1,043,045 | ||||||
MGM Resorts International | ||||||||
4.75%, 10/15/2028 | 1,150,000 | 1,212,014 | ||||||
Penn National Gaming, Inc. | ||||||||
5.63%, 01/15/2027(b) | 760,000 | 788,500 | ||||||
Station Casinos LLC | ||||||||
5.00%, 10/01/2025(b) | 1,850,000 | 1,875,326 | ||||||
Total Casinos & Gaming | 7,103,320 | |||||||
Chemicals (1.70%) | ||||||||
Kraton Polymers LLC / Kraton Polymers Capital Corp. | ||||||||
4.25%, 12/15/2025(b) | 1,600,000 | 1,644,000 | ||||||
LYB International Finance III LLC | ||||||||
3M US L + 1.00%, 10/01/2023(a) | 1,220,000 | 1,221,732 | ||||||
Total Chemicals | 2,865,732 | |||||||
Commercial Finance (2.92%) | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
1.75%, 01/30/2026 | 600,000 | 596,935 |
Value | ||||||||
Shares | (Note 2) | |||||||
Aircastle, Ltd. | ||||||||
2.85%, 01/26/2028(b) | $ | 1,625,000 | $ | 1,669,556 | ||||
Antares Holdings LP | ||||||||
2.75%, 01/15/2027(b) | 500,000 | 500,983 | ||||||
3.95%, 07/15/2026(b) | 500,000 | 531,336 | ||||||
Avolon Holdings Funding, Ltd. | ||||||||
2.75%, 02/21/2028(b) | 1,625,000 | 1,641,713 | ||||||
Park Aerospace Holdings, Ltd. | ||||||||
5.25%, 08/15/2022(b) | 14,000 | 14,609 | ||||||
Total Commercial Finance | 4,955,132 | |||||||
Consumer Finance (6.04%) | ||||||||
Ally Financial, Inc. | ||||||||
Series B | ||||||||
5Y US TI + 3.87%(a)(c) | 1,084,000 | 1,136,574 | ||||||
American Express Co. | ||||||||
Series B | ||||||||
3M US L + 3.43%(a)(c) | 1,450,000 | 1,460,534 | ||||||
Apollo Commercial Real Estate Finance, Inc. | ||||||||
4.63%, 06/15/2029(b) | 1,500,000 | 1,473,900 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | ||||||||
4.75%, 06/15/2029(b) | 1,000,000 | 997,500 | ||||||
LD Holdings Group LLC | ||||||||
6.50%, 11/01/2025(b) | 2,000,000 | 2,049,719 | ||||||
OneMain Finance Corp. | ||||||||
3.50%, 01/15/2027 | 650,000 | 662,246 | ||||||
5.38%, 11/15/2029 | 300,000 | 330,171 | ||||||
8.88%, 06/01/2025 | 875,000 | 963,576 | ||||||
Quicken Loans LLC | ||||||||
3.63%, 03/01/2029(b) | 850,000 | 853,370 | ||||||
5.25%, 01/15/2028(b) | 300,000 | 316,236 | ||||||
Total Consumer Finance | 10,243,826 | |||||||
Consumer Products (0.78%) | ||||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
5.00%, 12/31/2026(b) | 1,300,000 | 1,322,750 | ||||||
Consumer Services (1.42%) | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl | ||||||||
4.63%, 06/01/2028(b) | 2,400,000 | 2,409,750 | ||||||
Department Stores (1.76%) | ||||||||
NMG Holding Co. Inc / Neiman Marcus Group LLC | ||||||||
7.13%, 04/01/2026(b) | 1,000,000 | 1,068,740 | ||||||
Nordstrom, Inc. | ||||||||
4.25%, 08/01/2031 | 1,802,000 | 1,898,472 | ||||||
Total Department Stores | 2,967,212 |
Value | ||||||||
Shares | (Note 2) | |||||||
Exploration & Production (1.71%) | ||||||||
Hilcorp Energy I LP / Hilcorp Finance Co. | ||||||||
5.75%, 02/01/2029(b) | $ | 1,800,000 | $ | 1,838,889 | ||||
Murphy Oil Corp. | ||||||||
6.38%, 07/15/2028 | 1,000,000 | 1,058,615 | ||||||
Total Exploration & Production | 2,897,504 | |||||||
Financial Services (5.19%) | ||||||||
Compass Group Diversified Holdings LLC | ||||||||
5.25%, 04/16/2029(b) | 900,000 | 934,875 | ||||||
Credit Suisse Group AG | ||||||||
3.57%, 01/09/2023(b) | 300,000 | 304,162 | ||||||
1D US SOFR + 1.73%, 05/14/2032(a)(b) | 725,000 | 758,422 | ||||||
5Y US TI + 3.55%(a)(b)(c) | 1,275,000 | 1,271,303 | ||||||
5Y US TI + 4.82%(a)(b)(c) | 625,000 | 694,897 | ||||||
FS KKR Capital Corp. | ||||||||
3.40%, 01/15/2026 | 2,100,000 | 2,195,261 | ||||||
Golub Capital BDC, Inc. | ||||||||
2.50%, 08/24/2026 | 1,750,000 | 1,786,650 | ||||||
3.38%, 04/15/2024 | 800,000 | 840,770 | ||||||
Total Financial Services | 8,786,340 | |||||||
Forest & Paper Products Manufacturing (0.91%) | ||||||||
Mercer International, Inc. | ||||||||
5.13%, 02/01/2029 | 350,000 | 357,438 | ||||||
Resolute Forest Products, Inc. | ||||||||
4.88%, 03/01/2026(b) | 1,150,000 | 1,191,244 | ||||||
Total Forest & Paper Products Manufacturing | 1,548,682 | |||||||
Hardware (0.61%) | ||||||||
NCR Corp. | ||||||||
5.13%, 04/15/2029(b) | 1,000,000 | 1,042,270 | ||||||
Health Care Facilities & Services (0.14%) | ||||||||
HCA, Inc. | ||||||||
5.88%, 02/15/2026 | 200,000 | 232,750 | ||||||
Home Improvement (0.31%) | ||||||||
WASH Multifamily Acquisition, Inc. | ||||||||
5.75%, 04/15/2026(b) | 500,000 | 523,750 | ||||||
Homebuilders (1.82%) | ||||||||
Forestar Group, Inc. | ||||||||
3.85%, 05/15/2026(b) | 1,515,000 | 1,535,028 | ||||||
Shea Homes LP / Shea Homes Funding Corp. | ||||||||
4.75%, 02/15/2028(b) | 125,000 | 128,575 | ||||||
4.75%, 04/01/2029(b) | 1,375,000 | 1,414,394 | ||||||
Total Homebuilders | 3,077,997 | |||||||
Industrial Other (2.23%) | ||||||||
Dycom Industries, Inc. | ||||||||
4.50%, 04/15/2029(b) | 1,500,000 | 1,520,693 |
Value | ||||||||
Shares | (Note 2) | |||||||
Element Fleet Management Corp. | ||||||||
1.60%, 04/06/2024(b) | $ | 530,000 | $ | 539,408 | ||||
H&E Equipment Services, Inc. | ||||||||
3.88%, 12/15/2028(b) | 1,725,000 | 1,712,390 | ||||||
Total Industrial Other | 3,772,491 | |||||||
Internet Media (1.21%) | ||||||||
Endure Digital, Inc. | ||||||||
6.00%, 02/15/2029(b) | 1,000,000 | 972,555 | ||||||
Uber Technologies, Inc. | ||||||||
8.00%, 11/01/2026(b) | 1,000,000 | 1,072,500 | ||||||
Total Internet Media | 2,045,055 | |||||||
Leisure Products Manufacturing (0.79%) | ||||||||
Vista Outdoor, Inc. | ||||||||
4.50%, 03/15/2029(b) | 1,315,000 | 1,341,635 | ||||||
Metals & Mining (1.84%) | ||||||||
SunCoke Energy, Inc. | ||||||||
4.88%, 06/30/2029(b) | 1,500,000 | 1,513,335 | ||||||
TMS International Corp. | ||||||||
6.25%, 04/15/2029(b) | 500,000 | 525,500 | ||||||
United States Steel Corp. | ||||||||
6.88%, 03/01/2029 | 1,000,000 | 1,086,680 | ||||||
Total Metals & Mining | 3,125,515 | |||||||
Pharmaceuticals (2.98%) | ||||||||
Bausch Health Cos., Inc. | ||||||||
6.13%, 04/15/2025(b) | 2,882,000 | 2,945,043 | ||||||
Elanco Animal Health, Inc. | ||||||||
4.91%, 08/27/2021 | 25,000 | 25,127 | ||||||
Organon & Co. / Organon Foreign Debt Co-Issuer BV | ||||||||
5.13%, 04/30/2031(b) | 2,030,000 | 2,093,438 | ||||||
Total Pharmaceuticals | 5,063,608 | |||||||
Pipeline (7.11%) | ||||||||
Buckeye Partners LP | ||||||||
4.13%, 12/01/2027 | 915,000 | 936,434 | ||||||
4.35%, 10/15/2024 | 700,000 | 735,438 | ||||||
4.50%, 03/01/2028(b) | 1,155,000 | 1,176,327 | ||||||
5.60%, 10/15/2044 | 160,000 | 158,601 | ||||||
Energy Transfer LP | ||||||||
4.20%, 04/15/2027 | 750,000 | 838,918 | ||||||
Series B | ||||||||
3M US L + 4.16%(a)(c) | 875,000 | 862,881 | ||||||
Flex Intermediate Holdco LLC | ||||||||
3.36%, 06/30/2031(b) | 1,571,000 | 1,618,346 | ||||||
4.32%, 12/30/2039(b) | 777,000 | 818,796 | ||||||
Genesis Energy LP / Genesis Energy Finance Corp. | ||||||||
8.00%, 01/15/2027 | 1,200,000 | 1,238,766 | ||||||
Midwest Connector Capital Co. LLC | ||||||||
3.90%, 04/01/2024(b) | 275,000 | 288,307 | ||||||
4.63%, 04/01/2029(b) | 934,000 | 1,005,150 |
Value | ||||||||
Shares | (Note 2) | |||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
6.88%, 01/15/2029 | $ | 1,014,000 | $ | 1,140,238 | ||||
Western Midstream Operating LP | ||||||||
4.35%, 02/01/2025 | 525,000 | 550,641 | ||||||
3M US L + 2.10%, 01/13/2023(a) | 700,000 | 696,350 | ||||||
Total Pipeline | 12,065,193 | |||||||
Power Generation (1.62%) | ||||||||
Alexander Funding Trust | ||||||||
1.84%, 11/15/2023(b) | 1,350,000 | 1,373,748 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 09/01/2026(b) | 1,325,000 | 1,366,413 | ||||||
Total Power Generation | 2,740,161 | |||||||
Publishing & Broadcasting (3.49%) | ||||||||
Gray Television, Inc. | ||||||||
4.75%, 10/15/2030(b) | 2,000,000 | 1,986,360 | ||||||
Nexstar Media, Inc. | ||||||||
4.75%, 11/01/2028(b) | 1,600,000 | 1,651,992 | ||||||
Scripps Escrow II, Inc. | ||||||||
5.38%, 01/15/2031(b) | 2,300,000 | 2,302,150 | ||||||
Total Publishing & Broadcasting | 5,940,502 | |||||||
Real Estate (4.66%) | ||||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75%, 05/15/2028(b) | 1,975,000 | 2,126,799 | ||||||
GLP Capital LP / GLP Financing II, Inc. | ||||||||
5.30%, 01/15/2029 | 1,850,000 | 2,182,882 | ||||||
Howard Hughes Corp. | ||||||||
4.13%, 02/01/2029(b) | 1,475,000 | 1,464,564 | ||||||
4.38%, 02/01/2031(b) | 160,000 | 159,794 | ||||||
Kennedy-Wilson, Inc. | ||||||||
5.00%, 03/01/2031 | 1,050,000 | 1,079,615 | ||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co.-Issuer, Inc. | ||||||||
4.63%, 06/15/2025(b) | 200,000 | 213,093 | ||||||
Realogy Group LLC / Realogy Co.-Issuer Corp. | ||||||||
5.75%, 01/15/2029(b) | 650,000 | 682,516 | ||||||
Total Real Estate | 7,909,263 | |||||||
Refining & Marketing (1.81%) | ||||||||
HollyFrontier Corp. | ||||||||
4.50%, 10/01/2030 | 750,000 | 808,386 | ||||||
5.88%, 04/01/2026 | 325,000 | 376,729 | ||||||
Parkland Corp. | ||||||||
4.50%, 10/01/2029(b) | 1,000,000 | 1,030,000 | ||||||
Valero Energy Corp. | ||||||||
3M US L + 1.15%, 09/15/2023(a) | 850,000 | 850,972 | ||||||
Total Refining & Marketing | 3,066,087 |
Value | ||||||||
Shares | (Note 2) | |||||||
Retail - Consumer Discretionary (2.16%) | ||||||||
Carvana Co. | ||||||||
5.50%, 04/15/2027(b) | $ | 1,000,000 | $ | 1,036,250 | ||||
Lithia Motors, Inc. | ||||||||
3.88%, 06/01/2029(b) | 500,000 | 527,235 | ||||||
Petsmart, Inc. | ||||||||
4.75%, 02/15/2028(b) | 750,000 | 779,708 | ||||||
Victoria's Secret & Co. | ||||||||
4.63%, 07/15/2029(b) | 1,325,000 | 1,328,491 | ||||||
Total Retail - Consumer Discretionary | 3,671,684 | |||||||
Retail - Consumer Staples (0.70%) | ||||||||
United Natural Foods, Inc. | ||||||||
6.75%, 10/15/2028(b) | 1,100,000 | 1,186,636 | ||||||
Semiconductors (0.22%) | ||||||||
Marvell Technology, Inc. | ||||||||
1.65%, 04/15/2026(b) | 220,000 | 221,868 | ||||||
2.45%, 04/15/2028(b) | 150,000 | 155,295 | ||||||
Total Semiconductors | 377,163 | |||||||
Software & Services (2.89%) | ||||||||
Black Knight InfoServ LLC | ||||||||
3.63%, 09/01/2028(b) | 1,175,000 | 1,178,995 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.50%, 07/15/2029(b) | 1,000,000 | 1,008,750 | ||||||
4.75%, 07/15/2031(b) | 1,000,000 | 1,009,880 | ||||||
Playtika Holding Corp. | ||||||||
4.25%, 03/15/2029(b) | 1,700,000 | 1,697,875 | ||||||
Total Software & Services | 4,895,500 | |||||||
Supermarkets & Pharmacies (0.94%) | ||||||||
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC | ||||||||
4.63%, 01/15/2027(b) | 1,500,000 | 1,588,875 | ||||||
Transportation & Logistics (1.58%) | ||||||||
GXO Logistics, Inc. | ||||||||
1.65%, 07/15/2026(b) | 1,500,000 | 1,497,510 | ||||||
Meritor, Inc. | ||||||||
4.50%, 12/15/2028(b) | 1,150,000 | 1,181,165 | ||||||
Total Transportation & Logistics | 2,678,675 | |||||||
Utilities (1.14%) | ||||||||
Edison International | ||||||||
Series A | ||||||||
5Y US TI + 4.70%(a)(c) | 477,000 | 484,453 | ||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. | ||||||||
5.00%, 06/01/2031(b) | 500,000 | 520,825 | ||||||
Superior Plus LP / Superior General Partner, Inc. | ||||||||
4.50%, 03/15/2029(b) | 900,000 | 927,131 | ||||||
Total Utilities | 1,932,409 |
Value | ||||||||
Shares | (Note 2) | |||||||
Waste & Environment Services & Equipment (1.26%) | ||||||||
GFL Environmental, Inc. | ||||||||
4.00%, 08/01/2028(b) | $ | 1,950,000 | $ | 1,929,496 | ||||
4.25%, 06/01/2025(b) | 200,000 | 208,000 | ||||||
Total Waste & Environment Services & Equipment | 2,137,496 | |||||||
Wireline Telecommunications Services (1.14%) | ||||||||
Consolidated Communications, Inc. | ||||||||
5.00%, 10/02/2028(b) | 1,500,000 | 1,511,483 | ||||||
Frontier Communications Holdings LLC | ||||||||
5.00%, 05/01/2028(b) | 400,000 | 414,290 | ||||||
Total Wireline Telecommunications Services | 1,925,773 | |||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $139,174,329) | 141,882,663 |
Value | ||||||||
Shares | (Note 2) | |||||||
GOVERNMENT BONDS (7.74%) | ||||||||
U.S. Treasury Bonds (7.74%) | ||||||||
United States Treasury Bonds | ||||||||
2.25%, 05/15/2041 | 782,000 | 840,222 | ||||||
2.38%, 05/15/2051 | 1,495,000 | 1,658,866 | ||||||
United States Treasury Notes | ||||||||
0.38%, 01/31/2026 | 2,318,000 | 2,292,104 | ||||||
0.50%, 02/28/2026 | 1,246,000 | 1,238,213 | ||||||
0.75%, 03/31/2026 | 3,200,000 | 3,214,874 | ||||||
0.88%, 06/30/2026 | 1,139,000 | 1,149,411 | ||||||
1.13%, 02/29/2028 | 2,689,000 | 2,720,722 | ||||||
Total U.S. Treasury Bonds | 13,114,412 | |||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $13,054,645) | 13,114,412 |
Value | ||||||||
Shares | (Note 2) | |||||||
PREFERRED STOCK (2.64%) | ||||||||
Consumer Discretionary (1.09%) | ||||||||
Retail - Consumer Discretionary (1.09%) | ||||||||
Qurate Retail, Inc. | 17,000 | 1,844,160 | ||||||
TOTAL Consumer Discretionary | 1,844,160 | |||||||
Financials (1.55%) | ||||||||
Banks (1.55%) | ||||||||
Bank of Hawaii, Series A(c) | 63,000 | 1,633,590 | ||||||
First Republic Bank(c) | 33,000 | 825,000 | ||||||
US Bancorp(c) | 7,000 | 179,760 | ||||||
2,638,350 | ||||||||
TOTAL Financials | 2,638,350 | |||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $4,304,301) | 4,482,510 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (0.76%) | ||||||||||||
Money Market Fund (0.76%) | ||||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 0.030 | % | 1,285,178 | $ | 1,285,178 | |||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $1,285,178) | 1,285,178 | |||||||||||
TOTAL INVESTMENTS (99.03%) | ||||||||||||
(Cost $164,956,196) | $ | 167,901,116 | ||||||||||
Other Assets In Excess Of Liabilities (0.97%) | 1,641,749 | |||||||||||
NET ASSETS (100.00%) | $ | 169,542,865 |
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TI – Treasury Index
Reference Rates:
1M US L - 1 Month LIBOR as of July 31, 2021 was 0.09%
3M US L - 3 Month LIBOR as of July 31, 2021 was 0.12%
1D US SOFR - 1 Day SOFR as of July 31, 2021 was 0.05%
1Y US TI - 1 Year US Treasury Index as of July 31, 2021 was 0.07%
5Y US TI - 5 Year US Treasury Index as of July 31, 2021 was 0.69%
(a) | Floating or variable rate security. The reference rate is described above. The rate in effect as of July 31, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of July 31, 2021, the aggregate market value of those securities was $97,864,197, representing 57.72% of net assets. |
(c) | Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
See notes to quarterly statement of investments.
ALPS | Smith Balanced Opportunity Fund |
STATEMENT OF INVESTMENTS |
July 31, 2021 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (61.29%) | ||||||||
Communications (6.41%) | ||||||||
Media (6.41%) | ||||||||
Alphabet, Inc., Class A(a) | 366 | $ | 986,198 | |||||
Facebook, Inc., Class A(a) | 2,007 | 715,094 | ||||||
IAC/InterActiveCorp(a) | 1,425 | 195,638 | ||||||
ViacomCBS, Inc. | 4,307 | 176,286 | ||||||
Walt Disney Co.(a) | 2,229 | 392,348 | ||||||
2,465,564 | ||||||||
TOTAL Communications | 2,465,564 | |||||||
Consumer Discretionary (8.81%) | ||||||||
Consumer Discretionary Products (2.92%) | ||||||||
Bayerische Motoren Werke AG, ADR | 7,035 | 233,386 | ||||||
Brunswick Corp. | 2,087 | 217,883 | ||||||
Lennar Corp., Class A | 2,921 | 307,143 | ||||||
Scotts Miracle-Gro Co. | 929 | 164,396 | ||||||
YETI Holdings, Inc.(a) | 2,028 | 195,357 | ||||||
1,118,165 | ||||||||
Consumer Discretionary Services (3.08%) | ||||||||
Carnival Corp.(a) | 9,310 | 201,562 | ||||||
Marriott International, Inc., Class A(a) | 1,729 | 252,399 | ||||||
McDonald's Corp. | 1,522 | 369,405 | ||||||
Starbucks Corp. | 2,968 | 360,404 | ||||||
1,183,770 | ||||||||
Retail & Whsle - Discretionary (2.81%) | ||||||||
Amazon.com, Inc.(a) | 225 | 748,708 | ||||||
Lowe's Cos., Inc. | 1,711 | 329,693 | ||||||
1,078,401 | ||||||||
TOTAL Consumer Discretionary | 3,380,336 | |||||||
Consumer Staples (5.12%) | ||||||||
Consumer Staple Products (0.91%) | ||||||||
Estee Lauder Cos., Inc., Class A | 1,042 | 347,851 | ||||||
Retail & Wholesale - Staples (4.21%) | ||||||||
Costco Wholesale Corp. | 1,275 | 547,893 | ||||||
ITOCHU Corp., ADR | 3,312 | 196,170 | ||||||
Target Corp. | 1,451 | 378,784 | ||||||
Walmart, Inc. | 3,455 | 492,510 | ||||||
1,615,357 | ||||||||
TOTAL Consumer Staples | 1,963,208 |
Value | ||||||||
Shares | (Note 2) | |||||||
Energy (3.18%) | ||||||||
Oil & Gas (3.18%) | ||||||||
ConocoPhillips | 6,850 | $ | 384,011 | |||||
Enbridge, Inc. | 13,127 | 516,547 | ||||||
Marathon Petroleum Corp. | 5,775 | 318,896 | ||||||
1,219,454 | ||||||||
TOTAL Energy | 1,219,454 | |||||||
Financials (5.88%) | ||||||||
Banking (2.10%) | ||||||||
JPMorgan Chase & Co. | 4,500 | 683,010 | ||||||
Wells Fargo & Co. | 2,660 | 122,200 | ||||||
805,210 | ||||||||
Financial Services (3.11%) | ||||||||
Ally Financial, Inc. | 4,470 | 229,579 | ||||||
Intercontinental Exchange, Inc. | 2,818 | 337,681 | ||||||
LPL Financial Holdings, Inc. | 2,155 | 303,941 | ||||||
T Rowe Price Group, Inc. | 1,573 | 321,144 | ||||||
1,192,345 | ||||||||
Insurance (0.67%) | ||||||||
Prudential Financial, Inc. | 2,560 | 256,717 | ||||||
TOTAL Financials | 2,254,272 | |||||||
Health Care (8.33%) | ||||||||
Health Care (8.33%) | ||||||||
Danaher Corp. | 1,307 | 388,819 | ||||||
HCA Healthcare, Inc. | 1,405 | 348,721 | ||||||
IQVIA Holdings, Inc.(a) | 1,145 | 283,617 | ||||||
Jazz Pharmaceuticals PLC(a) | 1,445 | 244,956 | ||||||
Medtronic PLC | 3,258 | 427,808 | ||||||
Thermo Fisher Scientific, Inc. | 690 | 372,607 | ||||||
UnitedHealth Group, Inc. | 1,934 | 797,233 | ||||||
Zoetis, Inc. | 1,667 | 337,901 | ||||||
3,201,662 | ||||||||
TOTAL Health Care | 3,201,662 | |||||||
Industrials (6.13%) | ||||||||
Industrial Products (4.16%) | ||||||||
Boeing Co.(a) | 1,132 | 256,375 | ||||||
Caterpillar, Inc. | 1,679 | 347,133 | ||||||
Deere & Co. | 950 | 343,511 | ||||||
ITT, Inc. | 1,611 | 157,733 | ||||||
Middleby Corp.(a) | 727 | 139,213 | ||||||
TE Connectivity, Ltd. | 2,395 | 353,191 | ||||||
1,597,156 | ||||||||
Industrial Services (1.97%) | ||||||||
Norfolk Southern Corp. | 1,262 | 325,381 | ||||||
Old Dominion Freight Line, Inc. | 820 | 220,703 |
Value | ||||||||
Shares | (Note 2) | |||||||
Southwest Airlines Co.(a) | 4,134 | $ | 208,850 | |||||
754,934 | ||||||||
TOTAL Industrials | 2,352,090 | |||||||
Materials (2.10%) | ||||||||
Materials (2.10%) | ||||||||
Anglo American PLC, ADR | 11,170 | 248,979 | ||||||
Freeport-McMoRan, Inc. | 3,855 | 146,876 | ||||||
Linde PLC | 885 | 272,040 | ||||||
LyondellBasell Industries NV | 1,390 | 138,069 | ||||||
805,964 | ||||||||
TOTAL Materials | 805,964 | |||||||
Real Estate (1.25%) | ||||||||
Real Estate (1.25%) | ||||||||
Equity LifeStyle Properties, Inc. | 5,736 | 480,677 | ||||||
TOTAL Real Estate | 480,677 | |||||||
Technology (13.13%) | ||||||||
Software & Tech Services (7.39%) | ||||||||
Fidelity National Information Services, Inc. | 2,068 | 308,235 | ||||||
Mastercard, Inc., Class A | 1,631 | 629,468 | ||||||
Microsoft Corp. | 3,427 | 976,387 | ||||||
PayPal Holdings, Inc.(a) | 1,105 | 304,461 | ||||||
Synopsys, Inc.(a) | 1,068 | 307,573 | ||||||
Tyler Technologies, Inc.(a) | 635 | 312,826 | ||||||
2,838,950 | ||||||||
Tech Hardware & Semiconductors (5.74%) | ||||||||
Advanced Micro Devices, Inc.(a) | 2,904 | 308,376 | ||||||
Apple, Inc. | 6,915 | 1,008,622 | ||||||
Lam Research Corp. | 245 | 156,165 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 2,971 | 346,537 | ||||||
Texas Instruments, Inc. | 2,013 | 383,718 | ||||||
2,203,418 | ||||||||
TOTAL Technology | 5,042,368 | |||||||
Utilities (0.95%) | ||||||||
Utilities (0.95%) | ||||||||
Alliant Energy Corp. | 6,220 | 364,057 | ||||||
TOTAL Utilities | 364,057 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $20,344,511) | 23,529,652 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (4.18%) | ||||||||
Fannie Mae | ||||||||
Series 1997-10, Class FA, | ||||||||
1M US L + 0.60%, 03/18/2027(b) | $ | 11,209 | $ | 11,263 | ||||
Series 1999-52, Class NF, | ||||||||
1M US L + 1.15%, 10/25/2023(b) | 8,271 | 8,337 | ||||||
Series 2002-21, Class FD, | ||||||||
1M US L + 0.90%, 04/25/2032(b) | 15,147 | 15,332 | ||||||
Series 2002-22, Class GC, | ||||||||
6.500%, 04/25/2032 | 10,186 | 12,100 | ||||||
Series 2002-58, Class PG, | ||||||||
6.000%, 09/25/2032 | 25,316 | 29,776 | ||||||
Series 2002-58, Class FG, | ||||||||
1M US L + 1.00%, 08/25/2032(b) | 8,927 | 9,001 | ||||||
Series 2003-117, Class KB, | ||||||||
6.000%, 12/25/2033 | 22,271 | 26,185 | ||||||
Series 2003-87, Class SL, | ||||||||
9.10% - 1M US L%, 07/25/2033(b) | 52,866 | 62,481 | ||||||
Series 2004-60, Class JC, | ||||||||
5.500%, 04/25/2034 | 18,566 | 20,601 | ||||||
Series 2005-27, Class GH, | ||||||||
5.500%, 04/25/2035 | 90,000 | 107,801 | ||||||
Series 2007-104, Class ZE, | ||||||||
6.000%, 08/25/2037 | 23,013 | 26,979 | ||||||
Series 2007-22, Class A, | ||||||||
5.500%, 03/25/2037 | 11,192 | 13,043 | ||||||
Series 2007-55, Class PH, | ||||||||
6.000%, 06/25/2047 | 34,734 | 41,771 | ||||||
Series 2007-76, Class ZG, | ||||||||
6.000%, 08/25/2037 | 51,396 | 60,722 | ||||||
Series 2008-1, Class LF, | ||||||||
1M US L + 0.70%, 05/25/2037(b) | 25,559 | 25,959 | ||||||
Series 2008-22, Class DB, | ||||||||
5.000%, 04/25/2048 | 21,720 | 25,275 | ||||||
Series 2009-12, Class LC, | ||||||||
8.958%, 06/25/2037(b) | 19,966 | 25,455 | ||||||
Series 2009-51, Class BZ, | ||||||||
4.500%, 07/25/2039 | 42,885 | 48,080 | ||||||
Series 2010-98, Class BH, | ||||||||
5.500%, 09/25/2040 | 36,465 | 42,292 | ||||||
Series 2012-30, Class EH, | ||||||||
2.000%, 04/25/2022 | 8,585 | 8,611 | ||||||
Series 2012-64, Class NA, | ||||||||
3.000%, 08/25/2041 | 10,257 | 10,445 | ||||||
Series 2013-18, Class MY, | ||||||||
3.000%, 03/25/2033 | 15,000 | 16,324 | ||||||
Series 2013-61, Class NY, | ||||||||
3.000%, 06/25/2033 | 35,000 | 38,621 | ||||||
Series 2013-9, Class AE, | ||||||||
1.750%, 03/25/2039 | 27,317 | 27,575 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Series 2014-21, Class MA, | ||||||||
2.000%, 09/25/2041 | $ | 21,302 | $ | 21,962 | ||||
735,991 | ||||||||
Freddie Mac | ||||||||
Series 1996-1843, Class Z, | ||||||||
7.000%, 04/15/2026 | 9,695 | 10,307 | ||||||
Series 1999-2123, Class L, | ||||||||
6.500%, 01/15/2029 | 32,670 | 36,998 | ||||||
Series 2002-2538, Class FB, | ||||||||
1M US L + 0.40%, 12/15/2032(b) | 8,255 | 8,278 | ||||||
Series 2003-2626, Class FQ, | ||||||||
1M US L + 1.00%, 06/15/2023(b) | 6,967 | 6,986 | ||||||
Series 2005-2977, Class AT, | ||||||||
4.500%, 05/15/2025 | 16,254 | 17,011 | ||||||
Series 2005-2990, Class LB, | ||||||||
16.94569% - 1M US L%, 06/15/2034(b) | 7,685 | 8,917 | ||||||
Series 2005-2993, Class TF, | ||||||||
1M US L + 0.35%, 06/15/2025(b) | 7,643 | 7,635 | ||||||
Series 2006-3174, Class LF, | ||||||||
1M US L + 0.35%, 05/15/2036(b) | 15,034 | 15,114 | ||||||
Series 2006-3239, Class EF, | ||||||||
1M US L + 0.35%, 11/15/2036(b) | 12,154 | 12,255 | ||||||
Series 2007-3298, Class Z, | ||||||||
6.000%, 04/15/2037 | 40,421 | 47,648 | ||||||
Series 2008-3409, Class DB, | ||||||||
6.000%, 01/15/2038 | 19,290 | 22,820 | ||||||
Series 2009-3572, Class KT, | ||||||||
4.500%, 09/15/2039 | 19,093 | 21,060 | ||||||
Series 2010-3645, Class WD, | ||||||||
4.500%, 02/15/2040 | 19,000 | 20,703 | ||||||
Series 2010-3699, Class LC, | ||||||||
4.000%, 03/15/2040 | 17,539 | 19,092 | ||||||
Series 2010-3721, Class FB, | ||||||||
1M US L + 0.50%, 09/15/2040(b) | 14,803 | 15,038 | ||||||
Series 2010-3759, Class PY, | ||||||||
4.000%, 11/15/2040 | 25,000 | 27,896 | ||||||
Series 2010-3770, Class JZ, | ||||||||
4.000%, 12/15/2040 | 30,519 | 34,135 | ||||||
Series 2011-3786, Class HL, | ||||||||
3.500%, 03/15/2038 | 13,062 | 13,144 | ||||||
Series 2011-3954, Class PG, | ||||||||
2.500%, 07/15/2041 | 37,909 | 39,512 | ||||||
Series 2012-3987, Class LP, | ||||||||
3.500%, 01/15/2042 | 26,000 | 29,086 | ||||||
Series 2012-4032, Class AD, | ||||||||
2.000%, 10/15/2041 | 22,862 | 23,369 | ||||||
Series 2012-4043, Class PB, | ||||||||
1.500%, 05/15/2027 | 19,287 | 19,640 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Series 2012-4064, Class TL, | ||||||||
4.000%, 03/15/2042 | $ | 8,765 | $ | 8,966 | ||||
Series 2013-4226, Class GZ, | ||||||||
3.000%, 07/15/2043 | 19,876 | 20,842 | ||||||
Series 2013-4251, Class KE, | ||||||||
2.500%, 04/15/2028 | 25,041 | 25,236 | ||||||
Series 2015-4498, Class JA, | ||||||||
2.500%, 04/15/2037 | 44,041 | 45,176 | ||||||
556,864 | ||||||||
Ginnie Mae | ||||||||
Series 2004-86, Class C, | ||||||||
5.500%, 10/20/2034 | 16,000 | 18,430 | ||||||
Series 2005-91, Class PD, | ||||||||
5.500%, 12/20/2035 | 14,114 | 16,028 | ||||||
Series 2007-70, Class FC, | ||||||||
1M US L + 0.47%, 11/20/2037(b) | 22,709 | 22,889 | ||||||
Series 2008-2, Class PC, | ||||||||
4.750%, 01/20/2038 | 9,702 | 10,824 | ||||||
Series 2008-46, Class FA, | ||||||||
1M US L + 0.60%, 05/20/2038(b) | 9,334 | 9,385 | ||||||
Series 2008-60, Class JP, | ||||||||
5.500%, 07/20/2038 | 31,000 | 35,581 | ||||||
Series 2009-104, Class KA, | ||||||||
4.500%, 08/16/2039 | 19,338 | 20,073 | ||||||
Series 2010-151, Class KA, | ||||||||
3.000%, 09/16/2039 | 36,315 | 36,733 | ||||||
Series 2010-98, Class MG, | ||||||||
3.000%, 08/20/2039 | 8,061 | 8,220 | ||||||
Series 2011-H23, Class HA, | ||||||||
3.000%, 12/20/2061 | 6,902 | 7,305 | ||||||
Series 2012-39, Class GA, | ||||||||
3.000%, 10/16/2040 | 10,971 | 11,375 | ||||||
Series 2013-149, Class BP, | ||||||||
3.500%, 10/20/2043 | 50,000 | 56,833 | ||||||
Series 2013-98, Class DM, | ||||||||
3.500%, 07/20/2042 | 20,047 | 20,749 | ||||||
Series 2019-162, Class GA, | ||||||||
3.000%, 10/20/2049 | 16,770 | 17,081 | ||||||
Series 2019-29, Class JB, | ||||||||
4.500%, 12/20/2046 | 5,197 | 5,262 | ||||||
Series 2020-140, Class PA, | ||||||||
4.500%, 09/20/2050 | 7,318 | 7,851 | ||||||
Series 2020-5, Class LC, | ||||||||
3.500%, 10/20/2049 | 8,362 | 8,601 | ||||||
313,220 | ||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||
(Cost $1,571,430) | 1,606,075 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (0.10%) | ||||||||
Fannie Mae-Aces | ||||||||
Series 2011-M8, Class A2, | ||||||||
2.922%, 08/25/2021 | $ | 13,883 | $ | 13,875 | ||||
Series 2014-M9, Class A2, | ||||||||
3.103%, 07/25/2024(b) | 21,775 | 23,221 | ||||||
37,096 | ||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $36,736) | 37,096 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
MORTGAGE-BACKED SECURITIES (0.69%) | ||||||||
Fannie Mae Pool | ||||||||
Series 2005-, | ||||||||
7.678%, 06/15/2034 | 18,802 | 21,549 | ||||||
Series 2012-AM0762, | ||||||||
3.290%, 09/01/2032 | 8,429 | 9,598 | ||||||
Series 2012-AM1671, | ||||||||
2.100%, 12/01/2027 | 34,557 | 36,139 | ||||||
Series 2015-AM8645, | ||||||||
2.690%, 05/01/2027 | 21,811 | 23,686 | ||||||
Series 2015-AM8674, | ||||||||
2.810%, 04/01/2025 | 20,000 | 21,532 | ||||||
Series 2017-AN6670, | ||||||||
3.210%, 09/01/2027 | 29,617 | 31,060 | ||||||
Series 2018-109741, | ||||||||
3.730%, 11/01/2025 | 50,000 | 53,819 | ||||||
Series 2018-BL0212, | ||||||||
3.820%, 07/01/2027 | 34,608 | 39,560 | ||||||
Series 2019-, | ||||||||
3.340%, 05/01/2031 | 24,934 | 28,554 | ||||||
265,497 | ||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
(Cost $258,717) | 265,497 | |||||||
CORPORATE BONDS (13.63%) | ||||||||
Aerospace & Defense (0.83%) | ||||||||
Boeing Co. | ||||||||
4.51%, 05/01/2023 | 33,000 | 35,076 | ||||||
Teledyne Technologies, Inc. | ||||||||
0.65%, 04/01/2023 | 15,000 | 15,009 | ||||||
0.95%, 04/01/2024 | 80,000 | 80,092 | ||||||
1.60%, 04/01/2026 | 25,000 | 25,350 | ||||||
2.25%, 04/01/2028 | 95,000 | 98,367 | ||||||
TransDigm, Inc. | ||||||||
8.00%, 12/15/2025(c) | 60,000 | 64,502 | ||||||
Total Aerospace & Defense | 318,396 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Airlines (0.50%) | ||||||||
Alaska Airlines 2020-1 Class A Pass Through Trust | ||||||||
4.80%, 08/15/2027(c) | $ | 49,962 | $ | 55,606 | ||||
Alaska Airlines 2020-1 Class B Pass Through Trust | ||||||||
8.00%, 08/15/2025(c) | 28,026 | 31,295 | ||||||
British Airways 2020-1 Class A Pass Through Trust | ||||||||
4.25%, 11/15/2032(c) | 5,927 | 6,390 | ||||||
Delta Air Lines, Inc. | ||||||||
7.00%, 05/01/2025(c) | 7,000 | 8,238 | ||||||
Southwest Airlines Co. | ||||||||
5.25%, 05/04/2025 | 55,000 | 62,836 | ||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||
Series 20-1 | ||||||||
5.88%, 10/15/2027 | 23,187 | 25,842 | ||||||
Total Airlines | 190,207 | |||||||
Apparel & Textile Products (0.08%) | ||||||||
Hanesbrands, Inc. | ||||||||
5.38%, 05/15/2025(c) | 28,000 | 29,486 | ||||||
Automobiles Manufacturing (0.66%) | ||||||||
Ford Motor Co. | ||||||||
5.29%, 12/08/2046 | 20,000 | 22,942 | ||||||
8.50%, 04/21/2023 | 20,000 | 22,230 | ||||||
9.00%, 04/22/2025 | 80,000 | 98,575 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.38%, 11/13/2025 | 35,000 | 36,584 | ||||||
4.00%, 11/13/2030 | 35,000 | 37,060 | ||||||
General Motors Co. | ||||||||
5.00%, 04/01/2035 | 22,000 | 27,070 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
0.75%, 11/23/2022(c) | 5,000 | 5,020 | ||||||
0.88%, 11/22/2023(c) | 5,000 | 5,028 | ||||||
Total Automobiles Manufacturing | 254,509 | |||||||
Banks (0.43%) | ||||||||
CIT Group, Inc. | ||||||||
1D US SOFR + 3.83%, 06/19/2024(b) | 67,000 | 70,555 | ||||||
Citizens Financial Group, Inc. | ||||||||
4.15%, 09/28/2022(c) | 30,000 | 31,135 | ||||||
SVB Financial Group | ||||||||
2.10%, 05/15/2028 | 24,000 | 24,662 | ||||||
Synovus Bank/Columbus GA | ||||||||
1D US SOFR + 0.95%, 02/10/2023(b) | 15,000 | 15,110 | ||||||
Truist Bank | ||||||||
5Y US TI + 1.15%, 09/17/2029(b) | 25,000 | 26,236 | ||||||
Total Banks | 167,698 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Cable & Satellite (0.47%) | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
4.25%, 02/01/2031(c) | $ | 60,000 | $ | 61,981 | ||||
4.50%, 06/01/2033(c) | 22,000 | 22,931 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3.85%, 04/01/2061 | 20,000 | 20,017 | ||||||
5.05%, 03/30/2029 | 58,000 | 69,272 | ||||||
Sirius XM Radio, Inc. | ||||||||
3.88%, 08/01/2022 | 5,000 | 5,000 | ||||||
Total Cable & Satellite | 179,201 | |||||||
Casinos & Gaming (0.15%) | ||||||||
MGM Resorts International | ||||||||
5.50%, 04/15/2027 | 15,000 | 16,319 | ||||||
7.75%, 03/15/2022 | 10,000 | 10,380 | ||||||
Penn National Gaming, Inc. | ||||||||
5.63%, 01/15/2027(c) | 30,000 | 31,125 | ||||||
Total Casinos & Gaming | 57,824 | |||||||
Chemicals (0.30%) | ||||||||
Kraton Polymers LLC / Kraton Polymers Capital Corp. | ||||||||
4.25%, 12/15/2025(c) | 15,000 | 15,413 | ||||||
LYB International Finance III LLC | ||||||||
3M US L + 1.00%, 10/01/2023(b) | 100,000 | 100,141 | ||||||
Total Chemicals | 115,554 | |||||||
Commercial Finance (0.37%) | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
6.50%, 07/15/2025 | 65,000 | 76,135 | ||||||
Avolon Holdings Funding, Ltd. | ||||||||
3.63%, 05/01/2022(c) | 20,000 | 20,392 | ||||||
4.25%, 04/15/2026(c) | 25,000 | 27,355 | ||||||
Park Aerospace Holdings, Ltd. | ||||||||
5.25%, 08/15/2022(c) | 17,000 | 17,739 | ||||||
Total Commercial Finance | 141,621 | |||||||
Construction Materials Manufacturing (0.08%) | ||||||||
Martin Marietta Materials, Inc. | ||||||||
2.40%, 07/15/2031 | 12,000 | 12,355 | ||||||
3.20%, 07/15/2051 | 18,000 | 18,461 | ||||||
Total Construction Materials Manufacturing | 30,816 | |||||||
Consumer Finance (0.64%) | ||||||||
Ally Financial, Inc. | ||||||||
1.45%, 10/02/2023 | 10,000 | 10,159 | ||||||
Series B | ||||||||
5Y US TI + 3.87%(b)(d) | 10,000 | 10,485 | ||||||
Series C | ||||||||
7Y US TI + 3.481%(b)(d) | 18,000 | 18,742 | ||||||
American Express Co. | ||||||||
Series B | ||||||||
3M US L + 3.43%(b)(d) | 50,000 | 50,363 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Discover Financial Services | ||||||||
Series D | ||||||||
5Y US TI + 5.78%(b)(d) | $ | 15,000 | $ | 16,951 | ||||
OneMain Finance Corp. | ||||||||
8.88%, 06/01/2025 | 101,000 | 111,225 | ||||||
Quicken Loans LLC | ||||||||
3.63%, 03/01/2029(c) | 20,000 | 20,079 | ||||||
5.25%, 01/15/2028(c) | 10,000 | 10,541 | ||||||
Total Consumer Finance | 248,545 | |||||||
Consumer Services (0.05%) | ||||||||
Block Financial LLC | ||||||||
2.50%, 07/15/2028 | 18,000 | 18,416 | ||||||
Department Stores (0.20%) | ||||||||
Nordstrom, Inc. | ||||||||
4.25%, 08/01/2031 | 74,000 | 77,962 | ||||||
Diversified Banks (1.33%) | ||||||||
Bank of America Corp. | ||||||||
4.45%, 03/03/2026 | 25,000 | 28,333 | ||||||
1D US SOFR + 0.96%, 07/22/2027(b) | 56,000 | 57,000 | ||||||
1D US SOFR + 1.37%, 10/24/2031(b) | 119,000 | 117,441 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.25%, 06/22/2026 | 10,000 | 10,046 | ||||||
Citigroup, Inc. | ||||||||
4.30%, 11/20/2026 | 96,000 | 109,407 | ||||||
1D US SOFR + 1.17%, 05/01/2032(b) | 7,000 | 7,246 | ||||||
JPMorgan Chase & Co. | ||||||||
1D US SOFR + 0.535%, 06/01/2025(b) | 18,000 | 18,043 | ||||||
1D US SOFR + 1.25%, 04/22/2032(b) | 60,000 | 62,471 | ||||||
1D US SOFR + 1.46%, 06/01/2024(b) | 30,000 | 30,593 | ||||||
1D US SOFR + 1.46%, 04/22/2042(b) | 41,000 | 43,725 | ||||||
1D US SOFR + 2.04%, 04/22/2031(b) | 25,000 | 26,022 | ||||||
Total Diversified Banks | 510,327 | |||||||
Exploration & Production (0.03%) | ||||||||
Diamondback Energy, Inc. | ||||||||
4.40%, 03/24/2051 | 10,000 | 11,449 | ||||||
Financial Services (1.88%) | ||||||||
Credit Suisse Group AG | ||||||||
3.57%, 01/09/2023(c) | 37,000 | 37,513 | ||||||
5Y US TI + 4.82%(b)(c)(d) | 200,000 | 222,367 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Goldman Sachs Group, Inc. | ||||||||
3.50%, 04/01/2025 | $ | 60,000 | $ | 65,179 | ||||
1D US SOFR + 0.50%, 09/10/2024(b) | 24,000 | 24,017 | ||||||
Series DMTN | ||||||||
1D US SOFR + 1.248%, 07/21/2032(b) | 22,000 | 22,413 | ||||||
Morgan Stanley | ||||||||
Series I | ||||||||
1D US SOFR + 0.75%, 10/21/2025(b) | 10,000 | 10,011 | ||||||
1D US SOFR + 0.88%, 05/04/2027(b) | 14,000 | 14,216 | ||||||
1D US SOFR + 1.034%, 02/13/2032(b) | 150,000 | 145,981 | ||||||
Series GMTN | ||||||||
1D US SOFR + 0.858%, 07/20/2027(b) | 85,000 | 85,769 | ||||||
Nasdaq, Inc. | ||||||||
0.45%, 12/21/2022 | 10,000 | 10,005 | ||||||
National Securities Clearing Corp. | ||||||||
0.40%, 12/07/2023(c) | 20,000 | 20,042 | ||||||
Raymond James Financial, Inc. | ||||||||
4.65%, 04/01/2030 | 50,000 | 60,750 | ||||||
Total Financial Services | 718,263 | |||||||
Food & Beverage (0.07%) | ||||||||
Constellation Brands, Inc. | ||||||||
2.25%, 08/01/2031 | 15,000 | 15,146 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
4.63%, 11/01/2024(c) | 10,000 | 10,275 | ||||||
Total Food & Beverage | 25,421 | |||||||
Health Care Facilities & Services (0.69%) | ||||||||
HCA, Inc. | ||||||||
2.38%, 07/15/2031 | 73,000 | 73,883 | ||||||
3.50%, 07/15/2051 | 42,000 | 43,458 | ||||||
4.13%, 06/15/2029 | 40,000 | 45,689 | ||||||
4.50%, 02/15/2027 | 25,000 | 28,564 | ||||||
5.25%, 06/15/2049 | 15,000 | 19,704 | ||||||
Jaguar Holding Co. II / PPD Development LP | ||||||||
4.63%, 06/15/2025(c) | 50,000 | 52,415 | ||||||
Total Health Care Facilities & Services | 263,713 | |||||||
Industrial Other (0.07%) | ||||||||
Honeywell International, Inc. | ||||||||
0.48%, 08/19/2022 | 25,000 | 25,004 | ||||||
Medical Equipment & Devices Manufacturing (0.02%) | ||||||||
STERIS Irish FinCo UnLtd Co. | ||||||||
2.70%, 03/15/2031 | 7,000 | 7,277 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Metals & Mining (0.20%) | ||||||||
Steel Dynamics, Inc. | ||||||||
5.00%, 12/15/2026 | $ | 75,000 | $ | 78,176 | ||||
Pharmaceuticals (0.89%) | ||||||||
Bausch Health Cos., Inc. | ||||||||
6.13%, 04/15/2025(c) | 137,000 | 139,997 | ||||||
Elanco Animal Health, Inc. | ||||||||
4.91%, 08/27/2021 | 30,000 | 30,153 | ||||||
Organon & Co. / Organon Foreign Debt Co-Issuer BV | ||||||||
4.13%, 04/30/2028(c) | 55,000 | 56,469 | ||||||
5.13%, 04/30/2031(c) | 26,000 | 26,813 | ||||||
Viatris, Inc. | ||||||||
1.13%, 06/22/2022(c) | 86,000 | 86,520 | ||||||
Total Pharmaceuticals | 339,952 | |||||||
Pipeline (1.36%) | ||||||||
Buckeye Partners LP | ||||||||
4.13%, 12/01/2027 | 81,000 | 82,897 | ||||||
4.35%, 10/15/2024 | 10,000 | 10,506 | ||||||
4.50%, 03/01/2028(c) | 15,000 | 15,277 | ||||||
5.60%, 10/15/2044 | 12,000 | 11,895 | ||||||
Energy Transfer LP | ||||||||
3.45%, 01/15/2023 | 10,000 | 10,332 | ||||||
4.20%, 04/15/2027 | 25,000 | 27,964 | ||||||
Series F | ||||||||
5Y US TI + 5.134%(b)(d) | 15,000 | 15,047 | ||||||
Flex Intermediate Holdco LLC | ||||||||
3.36%, 06/30/2031(c) | 93,000 | 95,802 | ||||||
4.32%, 12/30/2039(c) | 62,000 | 65,335 | ||||||
Midwest Connector Capital Co. LLC | ||||||||
3.63%, 04/01/2022(c) | 85,000 | 86,282 | ||||||
3.90%, 04/01/2024(c) | 25,000 | 26,210 | ||||||
4.63%, 04/01/2029(c) | 5,000 | 5,381 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
6.88%, 01/15/2029 | 23,000 | 25,863 | ||||||
Western Midstream Operating LP | ||||||||
4.35%, 02/01/2025 | 40,000 | 41,954 | ||||||
Total Pipeline | 520,745 | |||||||
Power Generation (0.40%) | ||||||||
Alexander Funding Trust | ||||||||
1.84%, 11/15/2023(c) | 75,000 | 76,320 | ||||||
NRG Energy, Inc. | ||||||||
2.00%, 12/02/2025(c) | 20,000 | 20,595 | ||||||
2.45%, 12/02/2027(c) | 25,000 | 25,585 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 09/01/2026(c) | 29,000 | 29,906 | ||||||
Total Power Generation | 152,406 | |||||||
Publishing & Broadcasting (0.17%) | ||||||||
Nexstar Media, Inc. | ||||||||
4.75%, 11/01/2028(c) | 25,000 | 25,812 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Scripps Escrow II, Inc. | ||||||||
3.88%, 01/15/2029(c) | $ | 40,000 | $ | 40,070 | ||||
Total Publishing & Broadcasting | 65,882 | |||||||
Railroad (0.05%) | ||||||||
Westinghouse Air Brake Technologies Corp. | ||||||||
4.95%, 09/15/2028 | 15,000 | 17,612 | ||||||
Refining & Marketing (0.37%) | ||||||||
HollyFrontier Corp. | ||||||||
4.50%, 10/01/2030 | 25,000 | 26,946 | ||||||
5.88%, 04/01/2026 | 35,000 | 40,571 | ||||||
Valero Energy Corp. | ||||||||
3M US L + 1.15%, 09/15/2023(b) | 76,000 | 76,087 | ||||||
Total Refining & Marketing | 143,604 | |||||||
Restaurants (0.04%) | ||||||||
Yum! Brands, Inc. | ||||||||
7.75%, 04/01/2025(c) | 13,000 | 14,100 | ||||||
Retail - Consumer Discretionary (0.15%) | ||||||||
Gap, Inc. | ||||||||
8.63%, 05/15/2025(c) | 54,000 | 59,194 | ||||||
Semiconductors (0.11%) | ||||||||
Marvell Technology, Inc. | ||||||||
1.65%, 04/15/2026(c) | 10,000 | 10,085 | ||||||
2.45%, 04/15/2028(c) | 7,000 | 7,247 | ||||||
2.95%, 04/15/2031(c) | 10,000 | 10,459 | ||||||
Microchip Technology, Inc. | ||||||||
0.97%, 02/15/2024(c) | 15,000 | 15,034 | ||||||
Total Semiconductors | 42,825 | |||||||
Software & Services (0.28%) | ||||||||
CoStar Group, Inc. | ||||||||
2.80%, 07/15/2030(c) | 60,000 | 62,079 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
4.50%, 07/15/2029(c) | 12,000 | 12,105 | ||||||
4.75%, 07/15/2031(c) | 24,000 | 24,237 | ||||||
VMware, Inc. | ||||||||
2.20%, 08/15/2031 | 10,000 | 9,997 | ||||||
Total Software & Services | 108,418 | |||||||
Supermarkets & Pharmacies (0.02%) | ||||||||
Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC | ||||||||
4.63%, 01/15/2027(c) | 10,000 | 10,592 | ||||||
Transportation & Logistics (0.13%) | ||||||||
FedEx Corp. 2020-1 Class AA Pass Through Trust | ||||||||
1.88%, 02/20/2034 | 48,663 | 48,943 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
Utilities (0.45%) | ||||||||
Atmos Energy Corp. | ||||||||
3M US L + 0.38%, 03/09/2023(b) | $ | 7,000 | $ | 7,002 | ||||
Dominion Energy, Inc. | ||||||||
3.07%, 08/15/2024(e) | 25,000 | 26,627 | ||||||
Edison International | ||||||||
Series A | ||||||||
5Y US TI + 4.70%(b)(d) | 5,000 | 5,078 | ||||||
ONE Gas, Inc. | ||||||||
0.85%, 03/11/2023 | 25,000 | 25,008 | ||||||
1.10%, 03/11/2024 | 15,000 | 15,005 | ||||||
Pacific Gas and Electric Co. | ||||||||
1.37%, 03/10/2023 | 46,000 | 45,976 | ||||||
3M US L + 1.38%, 11/15/2021(b) | 40,000 | 40,045 | ||||||
Southern California Edison Co. | ||||||||
1.10%, 04/01/2024 | 10,000 | 10,081 | ||||||
Total Utilities | 174,822 | |||||||
Waste & Environment Services & Equipment (0.06%) | ||||||||
GFL Environmental, Inc. | ||||||||
4.25%, 06/01/2025(c) | 25,000 | 26,000 | ||||||
Wireless Telecommunications Services (0.09%) | ||||||||
AT&T, Inc. | ||||||||
1.70%, 03/25/2026 | 5,000 | 5,079 | ||||||
Sprint Corp. | ||||||||
7.88%, 09/15/2023 | 25,000 | 28,316 | ||||||
Total Wireless Telecommunications Services | 33,395 | |||||||
Wireline Telecommunications Services (0.01%) | ||||||||
NTT Finance Corp. | ||||||||
0.37%, 03/03/2023(c) | 4,000 | 4,003 | ||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $5,142,088) | 5,232,358 | |||||||
GOVERNMENT BONDS (16.74%) | ||||||||
U.S. Treasury Bonds (16.74%) | ||||||||
United States Treasury Bonds | ||||||||
0.88%, 11/15/2030 | 94,000 | 91,290 | ||||||
1.13%, 02/15/2031 | 237,000 | 234,982 | ||||||
1.13%, 08/15/2040 | 112,000 | 99,759 | ||||||
1.38%, 11/15/2040 | 17,000 | 15,799 | ||||||
1.38%, 08/15/2050 | 37,000 | 32,509 | ||||||
1.88%, 02/15/2041 | 211,000 | 213,440 | ||||||
1.88%, 02/15/2051 | 105,000 | 104,286 | ||||||
2.25%, 05/15/2041 | 127,000 | 136,456 | ||||||
2.38%, 05/15/2051 | 334,000 | 370,610 |
Principal | Value | |||||||
Amount | (Note 2) | |||||||
United States Treasury Notes | ||||||||
0.13%, 12/31/2022 | $ | 65,000 | $ | 65,008 | ||||
0.13%, 01/31/2023 | 320,000 | 320,000 | ||||||
0.13%, 02/28/2023 | 320,000 | 319,975 | ||||||
0.13%, 03/31/2023 | 287,000 | 286,910 | ||||||
0.13%, 04/30/2023 | 297,000 | 296,855 | ||||||
0.13%, 05/31/2023 | 316,000 | 315,803 | ||||||
0.13%, 06/30/2023 | 320,000 | 319,781 | ||||||
0.13%, 12/15/2023 | 278,000 | 277,283 | ||||||
0.13%, 02/15/2024 | 320,000 | 318,931 | ||||||
0.25%, 06/15/2023 | 327,000 | 327,536 | ||||||
0.25%, 03/15/2024 | 284,000 | 283,806 | ||||||
0.25%, 05/15/2024 | 320,000 | 319,450 | ||||||
0.38%, 04/15/2024 | 250,000 | 250,527 | ||||||
0.38%, 01/31/2026 | 80,000 | 79,106 | ||||||
0.50%, 02/28/2026 | 270,000 | 268,313 | ||||||
0.63%, 08/15/2030 | 194,000 | 184,652 | ||||||
0.75%, 03/31/2026 | 307,000 | 308,427 | ||||||
0.75%, 04/30/2026 | 310,000 | 311,314 | ||||||
1.25%, 05/31/2028 | 105,000 | 106,887 | ||||||
1.63%, 05/15/2031 | 162,000 | 167,961 | ||||||
Total U.S. Treasury Bonds | 6,427,656 | |||||||
TOTAL GOVERNMENT BONDS | ||||||||
(Cost $6,370,860) | 6,427,656 |
Value | ||||||||
Shares | (Note 2) | |||||||
PREFERRED STOCK (0.36%) | ||||||||
Consumer Discretionary (0.12%) | ||||||||
Retail - Consumer Discretionary (0.12%) | ||||||||
Qurate Retail, Inc. | 400 | 43,392 | ||||||
TOTAL Consumer Discretionary | 43,392 | |||||||
Financials (0.24%) | ||||||||
Banks (0.24%) | ||||||||
Bank of Hawaii, Series A(d) | 3,000 | 77,790 | ||||||
First Republic Bank(d) | 650 | 16,250 | ||||||
94,040 | ||||||||
TOTAL Financials | 94,040 | |||||||
TOTAL PREFERRED STOCK | ||||||||
(Cost $133,655) | 137,432 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT TERM INVESTMENTS (2.23%) | ||||||||||||
Money Market Fund (2.23%) | ||||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 0.030 | % | 50,244 | $ | 50,244 | |||||||
State Street Institutional Treasury Plus Money Market Fund | 0.010 | % | 805,809 | 805,809 | ||||||||
856,053 | ||||||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $856,053) | 856,053 | |||||||||||
TOTAL INVESTMENTS (99.22%) | ||||||||||||
(Cost $34,714,050) | $ | 38,091,819 | ||||||||||
Other Assets In Excess Of Liabilities (0.78%) | 299,732 | |||||||||||
NET ASSETS (100.00%) | $ | 38,391,551 |
Investment Abbreviations:
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
TI – Treasury Index
Reference Rates:
1M US L - 1 Month LIBOR as of July 31, 2021 was 0.09%
3M US L - 3 Month LIBOR as of July 31, 2021 was 0.12%
1D US SOFR - 1 Day SOFR as of July 31, 2021 was 0.05%
5Y US TI - 5 Year US Treasury Index as of July 31, 2021 was 0.69%
7Y US TI - 7 Year US Treasury Index as of July 31, 2021 was 1.00%
(a) | Non-Income Producing Security. |
(b) | Floating or variable rate security. The reference rate is described above. The rate in effect as of July 31, 2021 is based on the reference rate plus the displayed spread as of the security's last reset date. |
(c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of July 31, 2021, the aggregate market value of those securities was $1,884,377, representing 4.91% of net assets. |
(d) | Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. |
(e) | Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of July 31, 2021. |
See notes to quarterly statement of investments.
ALPS | Red Rocks Global Opportunity Fund |
STATEMENT OF INVESTMENTS |
July 31, 2021 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
CLOSED-END FUNDS (18.91%) | ||||||||
Apax Global Alpha, Ltd.(a)(b) | 365,000 | $ | 1,039,408 | |||||
HarbourVest Global Private Equity, Ltd.(c) | 143,200 | 4,475,912 | ||||||
HBM Healthcare Investments AG, Class A | 9,457 | 3,527,528 | ||||||
HgCapital Trust PLC | 728,314 | 4,044,389 | ||||||
ICG Enterprise Trust PLC | 99,000 | 1,491,263 | ||||||
Oakley Capital Investments, Ltd.(c) | 160,000 | 787,771 | ||||||
Pantheon International PLC Fund(c) | 62,350 | 2,253,401 | ||||||
Princess Private Equity Holding, Ltd. | 102,600 | 1,527,456 | ||||||
Standard Life Private Equity Trust PLC | 293,618 | 1,705,990 | ||||||
TOTAL CLOSED-END FUNDS | ||||||||
(Cost $13,293,382) | 20,853,118 | |||||||
COMMON STOCKS (78.73%) | ||||||||
Communications (8.22%) | ||||||||
Internet (1.60%) | ||||||||
Vimeo, Inc.(c) | 39,300 | 1,760,640 | ||||||
Media (6.62%) | ||||||||
IAC/InterActiveCorp(c) | 21,690 | 2,977,820 | ||||||
Liberty Broadband Corp., Class C(c) | 13,000 | 2,307,370 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class A(c) | 43,200 | 2,017,008 | ||||||
7,302,198 | ||||||||
TOTAL COMMUNICATIONS | 9,062,838 | |||||||
Consumer, Cyclical (5.27%) | ||||||||
Entertainment (3.77%) | ||||||||
Betsson AB | 127,000 | 1,022,385 | ||||||
Entain PLC(c) | 64,500 | 1,626,461 | ||||||
Kindred Group PLC | 91,900 | 1,504,269 | ||||||
4,153,115 | ||||||||
Retail (1.50%) | ||||||||
Costco Wholesale Corp. | 3,850 | 1,654,422 | ||||||
TOTAL CONSUMER, CYCLICAL | 5,807,537 | |||||||
Consumer, Non-Cyclical (6.87%) | ||||||||
Healthcare-Products (4.78%) | ||||||||
Hologic, Inc.(c) | 19,500 | 1,463,280 | ||||||
Stryker Corp. | 5,300 | 1,435,982 | ||||||
Thermo Fisher Scientific, Inc. | 4,400 | 2,376,044 | ||||||
5,275,306 |
Value | ||||||||
Shares | (Note 2) | |||||||
Healthcare-Services (2.09%) | ||||||||
Chemed Corp. | 4,840 | $ | 2,303,937 | |||||
TOTAL CONSUMER, NON-CYCLICAL | 7,579,243 | |||||||
Diversified (0.88%) | ||||||||
Holding Companies-Diversified Operations (0.88%) | ||||||||
Schouw & Co. A/S | 9,100 | 973,611 | ||||||
TOTAL DIVERSIFIED | 973,611 | |||||||
Financials (48.76%) | ||||||||
Diversified Financial Services (28.55%) | ||||||||
Apollo Global Management, Inc. | 37,400 | 2,201,364 | ||||||
Ares Management LP, Class A | 22,000 | 1,575,420 | ||||||
Blackstone Group, Inc., Class A | 43,200 | 4,979,664 | ||||||
Cannae Holdings, Inc.(c) | 74,800 | 2,487,100 | ||||||
Carlyle Group, Inc. | 47,000 | 2,372,090 | ||||||
EXOR N.V. | 16,300 | 1,339,144 | ||||||
Intermediate Capital Group PLC | 116,800 | 3,519,850 | ||||||
KKR & Co., Inc., Class A | 76,400 | 4,871,264 | ||||||
Mastercard, Inc., Class A | 3,750 | 1,447,275 | ||||||
Partners Group Holding AG | 2,970 | 5,073,841 | ||||||
StepStone Group, Inc., Class A | 35,600 | 1,620,156 | ||||||
31,487,168 | ||||||||
Investment Companies (9.89%) | ||||||||
3i Group PLC | 222,000 | 3,945,672 | ||||||
Chrysalis Investments, Ltd.(c) | 362,000 | 1,257,958 | ||||||
FS KKR Capital Corp. | 54,708 | 1,148,331 | ||||||
Investor AB, B Shares | 130,000 | 3,219,388 | ||||||
Kinnevik AB, B Shares(c) | 30,700 | 1,338,391 | ||||||
10,909,740 | ||||||||
Private Equity (8.45%) | ||||||||
Altamir | 37,313 | 1,035,525 | ||||||
Brederode SA | 33,180 | 4,209,489 | ||||||
Clairvest Group, Inc. | 12,700 | 621,156 | ||||||
Ratos AB, B Shares | 270,000 | 1,913,863 | ||||||
SuRo Capital Corp. | 126,275 | 1,541,818 | ||||||
9,321,851 | ||||||||
Real Estate (1.87%) | ||||||||
Brookfield Asset Management, Inc., Class A | 38,200 | 2,062,418 | ||||||
TOTAL FINANCIALS | 53,781,177 | |||||||
Industrials (3.89%) | ||||||||
Electronics (1.21%) | ||||||||
Lagercrantz Group AB, B Shares | 97,500 | 1,331,955 | ||||||
Machinery-Diversified (1.04%) | ||||||||
IDEX Corp. | 5,050 | 1,144,784 |
Value | ||||||||
Shares | (Note 2) | |||||||
Miscellaneous Manufacturers (1.64%) | ||||||||
Danaher Corp. | 6,100 | $ | 1,814,689 | |||||
TOTAL INDUSTRIALS | 4,291,428 | |||||||
Technology (3.35%) | ||||||||
Software (3.35%) | ||||||||
Constellation Software, Inc. | 1,030 | 1,649,874 | ||||||
Fidelity National Information Services, Inc. | 13,700 | 2,041,985 | ||||||
3,691,859 | ||||||||
TOTAL TECHNOLOGY | 3,691,859 | |||||||
Utilities (1.49%) | ||||||||
Electric (1.49%) | ||||||||
Brookfield Infrastructure Partners LP | 30,400 | 1,644,032 | ||||||
TOTAL UTILITIES | 1,644,032 | |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $57,819,759) | 86,831,725 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT-TERM INVESTMENTS (2.06%) | ||||||||||||
Money Market Fund (2.06%) | ||||||||||||
State Street Institutional Treasury Plus Money Market Fund | 0.010 | % | 2,272,457 | 2,272,457 | ||||||||
TOTAL MONEY MARKET FUND | 2,272,457 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $2,272,457) | 2,272,457 | |||||||||||
TOTAL INVESTMENTS (99.70%) | ||||||||||||
(Cost $73,385,598) | $ | 109,957,300 | ||||||||||
Other Assets In Excess Of Liabilities (0.30%) | 337,258 | |||||||||||
NET ASSETS (100.00%) | $ | 110,294,558 |
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of July 31, 2021, the aggregate market value of those securities was $1,039,408, representing 0.94% of net assets. |
(b) | Securities were originally issued pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. As of July 31, 2021, the aggregate fair value of those securities was $1,039,408, which represents approximately 0.94% of net assets. |
(c) | Non-Income Producing Security. |
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.
See Notes to Quarterly Statement of Investments.
Clough China Fund |
STATEMENT OF INVESTMENTS |
July 31, 2021 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
COMMON STOCKS (84.92%) | ||||||||
Communications (17.20%) | ||||||||
Entertainment Content (3.13%) | ||||||||
Bilibili, Inc., Sponsored ADR(a) | 4,300 | $ | 367,994 | |||||
NetEase, Inc., ADR(b) | 8,525 | 871,340 | ||||||
1,239,334 | ||||||||
Internet Media & Services (14.07%) | ||||||||
Baidu, Inc., Sponsored ADR(a) | 2,700 | 442,827 | ||||||
Meituan, Class B(a) | 31,100 | 860,582 | ||||||
Tencent Holdings, Ltd. | 70,600 | 4,257,755 | ||||||
5,561,164 | ||||||||
TOTAL COMMUNICATIONS | 6,800,498 | |||||||
Consumer Discretionary (30.89%) | ||||||||
Apparel & Textile Products (3.37%) | ||||||||
Samsonite International SA(a) | 145,900 | 271,564 | ||||||
Shenzhou International Group Holdings, Ltd. | 47,900 | 1,063,058 | ||||||
1,334,622 | ||||||||
Automotive (2.33%) | ||||||||
Tesla, Inc.(a)(b) | 1,340 | 920,848 | ||||||
Consumer Services (0.51%) | ||||||||
Cathay Media And Education Group, Inc. | 387,000 | 200,146 | ||||||
E-Commerce Discretionary (14.31%) | ||||||||
Alibaba Group Holding, Ltd., Sponsored ADR(a)(b) | 14,991 | 2,926,093 | ||||||
Hong Kong Technology Venture Co., Ltd.(a) | 527,000 | 739,480 | ||||||
JD.com, Inc., ADR(a)(b) | 12,000 | 850,560 | ||||||
Pinduoduo, Inc., ADR(a) | 3,200 | 293,152 | ||||||
Sea, Ltd., ADR(a)(b) | 3,070 | 847,811 | ||||||
5,657,096 | ||||||||
Leisure Facilities & Services (3.17%) | ||||||||
Sands China, Ltd.(a) | 88,000 | 299,733 | ||||||
Shangri-La Asia, Ltd.(a) | 556,000 | 493,970 | ||||||
Yum China Holdings, Inc. | 7,500 | 459,592 | ||||||
1,253,295 | ||||||||
Retail - Discretionary (7.20%) | ||||||||
ANTA Sports Products, Ltd. | 29,000 | 631,370 | ||||||
China Yongda Automobiles Services Holdings, Ltd. | 250,500 | 467,741 | ||||||
Giordano International, Ltd. | 2,044,000 | 397,628 | ||||||
Li Ning Co., Ltd. | 95,343 | 1,006,947 | ||||||
Lifestyle International Holdings, Ltd.(a) | 479,500 | 342,166 | ||||||
2,845,852 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 12,211,859 |
Value | ||||||||
Shares | (Note 2) | |||||||
Financials (12.47%) | ||||||||
Banking (5.92%) | ||||||||
China Construction Bank Corp., Class H | 751,080 | $ | 523,160 | |||||
China Merchants Bank Co., Ltd., Class H | 91,000 | 692,288 | ||||||
Industrial & Commercial Bank of China, Ltd., Class H | 493,967 | 274,297 | ||||||
Postal Savings Bank of China Co., Ltd., Class H | 1,316,000 | 850,050 | ||||||
2,339,795 | ||||||||
Institutional Financial Services (2.49%) | ||||||||
Hong Kong Exchanges and Clearing, Ltd. | 15,400 | 984,209 | ||||||
Insurance (4.06%) | ||||||||
AIA Group, Ltd. | 110,192 | 1,318,532 | ||||||
Ping An Insurance Group Co. of China, Ltd., Class H | 32,765 | 286,721 | ||||||
1,605,253 | ||||||||
TOTAL FINANCIALS | 4,929,257 | |||||||
Health Care (6.34%) | ||||||||
Biotech & Pharma (1.64%) | ||||||||
Moderna, Inc.(a)(b) | 1,410 | 498,576 | ||||||
Zai Lab, Ltd., ADR(a) | 1,030 | 148,948 | ||||||
647,524 | ||||||||
Health Care Facilities & Services (3.55%) | ||||||||
Wuxi Biologics Cayman, Inc.(a) | 92,000 | 1,405,232 | ||||||
Medical Equipment & Devices (1.15%) | ||||||||
Modern Dental Group, Ltd.(a) | 523,000 | 452,756 | ||||||
TOTAL HEALTH CARE | 2,505,512 | |||||||
Industrials (3.90%) | ||||||||
Machinery (1.86%) | ||||||||
Haitian International Holdings, Ltd. | 71,000 | 259,929 | ||||||
LK Technology Holdings, Ltd. | 100,000 | 234,446 | ||||||
Techtronic Industries Co., Ltd. | 13,500 | 240,736 | ||||||
735,111 | ||||||||
Transportation & Logistics (2.04%) | ||||||||
China Merchants Port Holdings Co., Ltd. | 578,000 | 805,373 | ||||||
TOTAL INDUSTRIALS | 1,540,484 | |||||||
Materials (5.12%) | ||||||||
Construction Materials (4.50%) | ||||||||
Xinyi Glass Holdings, Ltd. | 476,000 | 1,778,984 | ||||||
Metals & Mining (0.62%) | ||||||||
Aluminum Corp. of China, Ltd.(a) | 400,000 | 243,981 | ||||||
TOTAL MATERIALS | 2,022,965 | |||||||
Real Estate (2.64%) | ||||||||
Real Estate Owners & Developers (1.55%) | ||||||||
KWG Group Holdings, Ltd. | 321,728 | 353,093 |
Value | ||||||||||||
Shares | (Note 2) | |||||||||||
Wharf Real Estate Investment Co., Ltd. | 46,000 | $ | 259,802 | |||||||||
612,895 | ||||||||||||
Real Estate Services (1.09%) | ||||||||||||
Powerlong Commercial Management Holdings, Ltd. | 148,000 | 431,731 | ||||||||||
TOTAL REAL ESTATE | 1,044,626 | |||||||||||
Technology (4.33%) | ||||||||||||
Semiconductors (2.11%) | ||||||||||||
Lam Research Corp.(b) | 355 | 226,281 | ||||||||||
MediaTek, Inc. | 11,000 | 359,676 | ||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 12,000 | 250,794 | ||||||||||
836,751 | ||||||||||||
Technology Hardware (1.03%) | ||||||||||||
Silergy Corp. | 3,000 | 407,054 | ||||||||||
Technology Services (1.19%) | ||||||||||||
Chinasoft International, Ltd.(a) | 262,000 | 469,771 | ||||||||||
TOTAL TECHNOLOGY | 1,713,576 | |||||||||||
Utilities (2.03%) | ||||||||||||
Gas & Water Utilities (2.03%) | ||||||||||||
Hong Kong & China Gas Co., Ltd. | 141,750 | 230,533 | ||||||||||
Kunlun Energy Co., Ltd. | 282,000 | 243,803 | ||||||||||
Towngas China Co., Ltd.(a) | 498,000 | 327,199 | ||||||||||
801,535 | ||||||||||||
TOTAL UTILITIES | 801,535 | |||||||||||
TOTAL COMMON STOCKS | ||||||||||||
(Cost $25,679,299) | 33,570,312 | |||||||||||
SHORT TERM INVESTMENTS (13.92%) | ||||||||||||
Money Market Fund (13.92%) | ||||||||||||
Blackrock Liquidity Funds, T-Fund | 0.010 | % | 5,500,068 | 5,500,068 | ||||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||||||
(Cost $5,500,068) | 5,500,068 | |||||||||||
TOTAL INVESTMENTS (98.84%) | ||||||||||||
(Cost $31,179,367) | $ | 39,070,380 | ||||||||||
Other Assets In Excess Of Liabilities (1.16%)(c) | 460,983 | |||||||||||
NET ASSETS (100.00%) | $ | 39,531,363 |
(a) | Non-Income Producing Security. |
(b) | Security, or portion of security, is being held as collateral for total return swap contracts aggregating a total market value of $3,839,557. |
(c) | Includes cash which is being held as collateral for total return swap contracts in the amount of $3,685. |
TOTAL RETURN SWAP CONTRACTS(a)
Swap Counterparty | Reference Obligation | Notional Amount | Floating Rate/Fixed Amount Paid by Fund* | Termination Date | Value | Unrealized Appreciation | ||||||||||||
Morgan Stanley | China International Travel SER | $ | 79,459 | 1D FEDEF + 250 BPS | 1/3/2022 | $ | 92,647 | $ | 13,188 | |||||||||
Morgan Stanley | Contemporary Amperex Technology Co., Ltd. | 1,407,856 | 1D FEDEF + 250 BPS | 1/3/2022 | 1,943,701 | 535,845 | ||||||||||||
Morgan Stanley | Shenzhen Inovance Technology Co., Ltd. | 699,368 | 1D FEDEF + 250 BPS | 1/3/2022 | 888,185 | 188,817 | ||||||||||||
Morgan Stanley | Shenzhen Mindray Bio-Med Electronics Co., Ltd. | 587,974 | 1D FEDEF + 250 BPS | 1/3/2022 | 622,740 | 34,766 | ||||||||||||
$ | 2,774,657 | $ | 3,547,273 | $ | 772,616 |
Swap Counterparty | Reference Obligation | Notional Amount | Floating Rate/Fixed Amount Paid by Fund* | Termination Date | Value | Unrealized Depreciation | ||||||||||||
Morgan Stanley | Boe Technology Group Co., Ltd. | $ | 238,156 | 1D FEDEF + 250 BPS | 1/3/2022 | $ | 190,169 | $ | (47,987 | ) | ||||||||
Morgan Stanley | Goetrek, Inc. | 275,793 | 1D FEDEF + 250 BPS | 1/3/2022 | 266,805 | (8,988 | ) | |||||||||||
Morgan Stanley | Kweichow Moutai Co., Ltd. | 1,014,094 | 1D FEDEF + 250 BPS | 1/3/2022 | 971,824 | (42,270 | ) | |||||||||||
Morgan Stanley | Ping An Bank Co., Ltd. | 415,317 | 1D FEDEF + 250 BPS | 1/3/2022 | 301,944 | (113,373 | ) | |||||||||||
Morgan Stanley | Wuliangye Yibin Co., Ltd. | 612,764 | 1D FEDEF + 255 BPS | 1/3/2022 | 591,511 | (21,253 | ) | |||||||||||
Morgan Stanley | Zoomlion Heavy Industry Science & Tech, Ltd. | 293,739 | 1D FEDEF + 255 BPS | 1/3/2022 | 269,273 | (24,466 | ) | |||||||||||
Morgan Stanley | Zoomlion Heavy Industry Science & Tech, Ltd. | 241,576 | 1D FEDEF + 250 BPS | 1/3/2022 | 142,386 | (99,190 | ) | |||||||||||
$ | 3,091,439 | $ | 2,733,912 | $ | (357,527 | ) |
(a) | For long positions in the total return swap, the Fund receives payments based on any positive return of the Reference Obligation less the rate paid by the Fund. The Fund makes payments on any negative return of such Reference Obligations plus the rate paid by the Fund. For the short positions in the total return swap, the Fund makes payments based on any positive return of the Reference Obligation less the rate received by the Fund. The Fund receives payments on any negative return of such Reference Obligations plus the rate received by the Fund. |
* | Payments made when swap contract closes. |
Investment Abbreviations:
1D FEDEF - Federal Funds Effective Rate (Daily)
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.
See Notes to Quarterly Statement of Investments.
RiverFront Asset Allocation Aggressive |
STATEMENT OF INVESTMENTS |
July 31, 2021 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
EXCHANGE TRADED FUNDS (97.80%) | ||||||||
Equity (97.80%) | ||||||||
First Trust RiverFront Dynamic Asia Pacific ETF(a) | 14,708 | $ | 850,595 | |||||
First Trust RiverFront Dynamic Developed International ETF(a) | 62,751 | 4,608,433 | ||||||
First Trust RiverFront Dynamic Emerging Markets ETF(a) | 41,599 | 2,959,353 | ||||||
First Trust RiverFront Dynamic Europe ETF(a) | 23,972 | 1,870,655 | ||||||
RiverFront Dynamic US Dividend Advantage ETF(a) | 194,100 | 8,622,213 | ||||||
RiverFront Dynamic US Flex-Cap ETF(a) | 182,122 | 8,287,389 | ||||||
27,198,638 | ||||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $20,319,785) | 27,198,638 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT-TERM INVESTMENTS (2.25%) | ||||||||||||
Money Market Fund (2.25%) | ||||||||||||
State Street Institutional Treasury Plus Money Market Fund | 0.010 | % | 626,622 | 626,622 | ||||||||
TOTAL MONEY MARKET FUND | 626,622 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $626,622) | 626,622 | |||||||||||
TOTAL INVESTMENTS (100.05%) | ||||||||||||
(Cost $20,946,407) | $ | 27,825,260 | ||||||||||
Liabilities In Excess Of Other Assets (-0.05%) | (14,712 | ) | ||||||||||
NET ASSETS (100.00%) | $ | 27,810,548 |
(a) | Affiliated Company. See Note 4 in Notes to Quarterly Statement of Investments. |
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.
See Notes to Quarterly Statement of Investments.
RiverFront Asset Allocation Growth & Income |
STATEMENT OF INVESTMENTS |
July 31, 2021 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
EXCHANGE TRADED FUNDS (97.92%) | ||||||||
Debt (22.69%) | ||||||||
RiverFront Dynamic Core Income ETF(a) | 491,191 | $ | 12,645,958 | |||||
RiverFront Dynamic Unconstrained Income ETF(a) | 39,575 | 1,018,661 | ||||||
Riverfront Strategic Income Fund(a) | 36,147 | 898,614 | ||||||
14,563,233 | ||||||||
Equity (75.23%) | ||||||||
First Trust RiverFront Dynamic Developed International ETF(a) | 196,159 | 14,405,917 | ||||||
First Trust RiverFront Dynamic Emerging Markets ETF(a) | 73,294 | 5,214,135 | ||||||
RiverFront Dynamic US Dividend Advantage ETF(a) | 444,407 | 19,741,225 | ||||||
RiverFront Dynamic US Flex-Cap ETF(a) | 195,992 | 8,918,538 | ||||||
48,279,815 | ||||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $48,788,626) | 62,843,048 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT-TERM INVESTMENTS (2.14%) | ||||||||||||
Money Market Fund (2.14%) | ||||||||||||
State Street Institutional Treasury Plus Money Market Fund | 0.010 | % | 1,374,317 | 1,374,317 | ||||||||
TOTAL MONEY MARKET FUND | 1,374,317 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $1,374,317) | 1,374,317 | |||||||||||
TOTAL INVESTMENTS (100.06%) | ||||||||||||
(Cost $50,162,943) | $ | 64,217,365 | ||||||||||
Liabilities In Excess Of Other Assets (-0.06%) | (38,982 | ) | ||||||||||
NET ASSETS (100.00%) | $ | 64,178,383 |
(a) | Affiliated Company. See Note 4 in Notes to Quarterly Statement of Investments. |
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.
See Notes to Quarterly Statement of Investments.
RiverFront Asset Allocation Moderate |
STATEMENT OF INVESTMENTS |
July 31, 2021 (Unaudited) |
Value | ||||||||
Shares | (Note 2) | |||||||
EXCHANGE TRADED FUNDS (99.18%) | ||||||||
Debt (42.00%) | ||||||||
RiverFront Dynamic Core Income ETF(a) | 755,586 | $ | 19,452,939 | |||||
RiverFront Dynamic Unconstrained Income ETF(a) | 31,497 | 810,733 | ||||||
Riverfront Strategic Income Fund(a) | 28,485 | 708,137 | ||||||
20,971,809 | ||||||||
Equity (57.18%) | ||||||||
First Trust RiverFront Dynamic Developed International ETF(a) | 82,615 | 6,067,246 | ||||||
RiverFront Dynamic US Dividend Advantage ETF(a) | 385,401 | 17,120,090 | ||||||
RiverFront Dynamic US Flex-Cap ETF(a) | 117,759 | 5,358,576 | ||||||
28,545,912 | ||||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $40,381,101) | 49,517,721 |
7-Day | Value | |||||||||||
Yield | Shares | (Note 2) | ||||||||||
SHORT-TERM INVESTMENTS (1.59%) | ||||||||||||
Money Market Fund (1.59%) | ||||||||||||
State Street Institutional Treasury Plus Money Market Fund | 0.010 | % | 792,662 | 792,662 | ||||||||
TOTAL MONEY MARKET FUND | 792,662 | |||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||
(Cost $792,662) | 792,662 | |||||||||||
TOTAL INVESTMENTS (100.77%) | ||||||||||||
(Cost $41,173,763) | $ | 50,310,383 | ||||||||||
Liabilities In Excess Of Other Assets (-0.77%) | (382,872 | ) | ||||||||||
NET ASSETS (100.00%) | $ | 49,927,511 |
(a) | Affiliated Company. See Note 4 in Notes to Quarterly Statement of Investments. |
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.
See Notes to Quarterly Statement of Investments.
Notes to Quarterly Statements of Investments
July 31, 2021 (Unaudited)
1. ORGANIZATION
Financial Investors Trust (the “Trust”), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”). The Trust consists of multiple separate portfolios or series. This report includes the statements of investments of the following funds: ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund, ALPS | Kotak India Growth Fund, ALPS | Red Rocks Global Opportunity Fund, Clough China Fund, RiverFront Asset Allocation Aggressive, RiverFront Asset Allocation Growth & Income , RiverFront Asset Allocation Moderate, ALPS | Smith Total Return Bond Fund and ALPS | Smith Short Duration Bond Fund, ALPS | Smith Balanced Opportunity Fund, and ALPS | Smith Credit Opportunities Fund (each, a “Fund” and collectively, the “Funds”). Prior to March 31, 2020, the ALPS | Red Rocks Global Opportunity Fund was known as the ALPS | Red Rocks Listed Private Equity Fund.
The ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund seeks to maximize real returns (returns after inflation), consistent with prudent investment management. ALPS | Kotak India Growth Fund’s investment goal is long-term capital appreciation. ALPS | Red Rocks Global Opportunity Fund seeks to maximize total return, which consists of appreciation on its investments and a variable income stream. The Clough China Fund seeks to provide investors with long-term capital appreciation. The RiverFront Asset Allocation Aggressive seeks to achieve long-term capital appreciation, the RiverFront Asset Allocation Growth & Income seeks to achieve long-term growth and income, and the RiverFront Asset Allocation Moderate has two primary investment objectives- it seeks (1) to provide a level of current income that exceeds the average yield on U.S. stocks, and (2) growth of capital. The ALPS | Smith Total Return Bond Fund capital seeks to obtain maximum total return, consistent with preservation of capital. The ALPS | Smith Short Duration Bond Fund seeks as high a level of current income as is consistent with preservation of capital. The ALPS | Smith Balanced Opportunity Fund seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The ALPS | Smith Credit Opportunities Fund seeks to obtain maximum risk-adjusted return with a secondary focus on high current income.
The classes of each Fund differ principally in the applicable distribution and shareholder service fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Fund and earn income and realized gains/losses from the Fund pro rata based on the average daily net assets of each class, without distinction between share classes. Dividends to shareholders are determined separately for each class based on income and expenses allocable to each class. Realized gain distributions to shareholders are allocated to each class pro rata based on the shares outstanding of each class on the date of distribution. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if applicable.
Basis of Consolidation for the ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund
CoreCommodity Management Cayman Commodity Fund Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on April 23, 2010 and is a wholly owned subsidiary of the ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund (the “CoreCommodity Fund”). The Subsidiary acts as an investment vehicle for the CoreCommodity Fund in order to effect certain commodity-related investments on behalf of the CoreCommodity Fund. CoreCommodity Fund is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of June 14, 2010, and it is intended that the CoreCommodity Fund will remain the sole shareholder and will continue to wholly own and control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. The CoreCommodity Fund may invest up to 25% of its total assets in shares of the Subsidiary. As a wholly owned subsidiary of the CoreCommodity Fund, the financial statements of the Subsidiary are included in the consolidated financial statements and financial highlights of the CoreCommodity Fund. All investments held by the Subsidiary are disclosed in the accounts of the CoreCommodity Fund. As of July 31, 2021, net assets of the CoreCommodity Fund were $1,084,092,202, of which $228,380,941 or 21.07% represented the CoreCommodity Fund’s ownership of all issued shares and voting rights of the Subsidiary.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. Each Fund is considered an investment company for financial reporting purposes, and follows accounting policies in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including policies specific to investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds and subsidiaries, as applicable, in preparation of their financial statements. The Funds are considered investment companies under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946.
Investment Valuation: The Funds generally value their securities based on market prices determined at the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. For equity securities and mutual funds that are traded on an exchange, the market price is usually the closing sale or official closing price on that exchange.
The market price for debt obligations is generally the price supplied by an independent third-party pricing service approved by the Board, which may use a matrix, formula or other objective method that takes into consideration quotations from dealers, market transactions in comparable investments, market indices and yield curves. If vendors are unable to supply a price, or if the price supplied is deemed to be unreliable, the market price may be determined using quotations received from one or more brokers-dealers that make a market in the security. Investments in nonexchange traded funds are fair valued at their respective net asset values. Bonds may be purchased and held as odd lots. Pricing services value such securities based on bid prices for round lots; round lot prices may reflect more favorable pricing than odd lot holdings. A Fund may, in consideration of the foregoing, purchase securities suitable for its investment strategies in odd lots. Special valuation considerations may apply with respect to a Fund’s odd-lot positions, as the Fund may receive different prices when it sells such positions than it would receive for sales of institutional round lot positions. Pricing vendors generally value securities assuming orderly transactions of institutional round lot sizes, but a Fund may hold or transact in such securities in smaller, odd lot sizes. The ALPS | Smith Total Return Bond Fund and the ALPS | Smith Short Duration Bond Fund have odd lot pricing policies it employs to value odd lot securities.
Futures contracts that are listed or traded on a national securities exchange, commodities exchange, contract market or comparable over the counter market, and that are freely transferable, are valued at their closing settlement price on the exchange on which they are primarily traded or based upon the current settlement price for a like instrument acquired on the day on which the instrument is being valued. A settlement price may not be used if the market makes a limit move with respect to a particular commodity. Over-the-counter swap contracts are valued based on quotes received from independent pricing services or one or more dealers that make markets in such investments.
Option contracts are valued using the National Best Bid and Offer price (“NBBO”). In the event there is no NBBO price available, option contracts are valued at the mean between the last bid and ask.
For ALPS | Kotak India Growth Fund, ALPS | Red Rocks Global Opportunity Fund, and Clough China Fund, who hold equity securities that are primarily traded on foreign securities exchanges, such securities are valued at the closing values of such securities on their respective foreign exchanges, except when an event occurs subsequent to the close of the foreign exchange and the close of the NYSE that was likely to have changed such value. In such an event, the fair value of those securities are determined in good faith through consideration of other factors in accordance with procedures established by and under the general supervision of the Board. The Funds will use a fair valuation model provided by an independent pricing service, which is intended to reflect fair value when a security’s value or a meaningful portion of the Fund’s portfolio is believed to have been materially affected by an valuation event that has occurred between the close of the exchange or market on which the security is traded and the close of the regular trading day on the NYSE.
Forward currency exchange contracts have a value determined by the current foreign currency exchange forward rates. The foreign currency exchange forward rates are calculated using an automated system that estimates rates on the basis of the current day foreign currency exchange rates and forward foreign currency exchange rates supplied by a pricing service. Foreign exchange rates and forward foreign currency exchange rates may generally be obtained at the close of the NYSE, normally 4:00 p.m. Eastern Time.
When such prices or quotations are not available, or when the Fair Value Committee appointed by the Board believes that they are unreliable, securities may be priced using fair value procedures approved by the Board. The fair valuation policies and procedures (“FV Procedures”) have been adopted by the Board for the fair valuation of portfolio assets held by the Fund(s) in the event that (1) market quotations for the current price of a portfolio security or asset are not readily available, or (2) available market quotations that would otherwise be used to value a portfolio security or asset in accordance with the Fund’s Pricing Procedures appear to be unreliable. The Pricing Procedures reflect certain pricing methodologies (or “logics”) that are not “readily available market quotations” and thus are viewed and treated as fair valuations. The Fair Value Committee routinely meets to discuss fair valuations of portfolio securities and other instruments held by the Fund(s).
Fair Value Measurements: The Funds disclose the classification of their fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.
Various inputs are used in determining the value of each Fund’s investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. These inputs are categorized in the following hierarchy under applicable financial accounting standards:
Level 1 – | Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date; |
Level 2 – | Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and |
Level 3 – | Significant unobservable prices or inputs (including the Fund’s own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. |
The following is a summary of each Fund’s investments/financial instruments in the fair value hierarchy as of July 31, 2021:
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund | ||||||||||||||||
Common Stocks(a) | ||||||||||||||||
United States | $ | 114,441,236 | $ | 103 | $ | – | $ | 114,441,339 | ||||||||
Other | 204,459,943 | – | – | 204,459,943 | ||||||||||||
Master Limited Partnerships(a) | 460,779 | – | – | 460,779 | ||||||||||||
Government Bonds | – | 565,753,622 | – | 565,753,622 | ||||||||||||
Total | $ | 319,361,958 | $ | 565,753,725 | $ | – | $ | 885,115,683 | ||||||||
Other Financial Instruments | ||||||||||||||||
Assets | ||||||||||||||||
Futures Contracts | $ | 11,528,539 | $ | – | $ | – | $ | 11,528,539 | ||||||||
Total Return Swap Contracts | – | 15 | – | 15 | ||||||||||||
Liabilities | ||||||||||||||||
Futures Contracts | (8,922,211 | ) | – | – | (8,922,211 | ) | ||||||||||
Total | $ | 2,606,328 | $ | 15 | $ | – | $ | 2,606,343 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Kotak India Growth Fund | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | $ | 3,418,616 | $ | 10,516,595 | $ | – | $ | 13,935,211 | ||||||||
Consumer Discretionary | 2,273,499 | 31,690,288 | – | 33,963,787 | ||||||||||||
Consumer Staples | – | 21,970,531 | – | 21,970,531 | ||||||||||||
Energy | – | 20,822,329 | – | 20,822,329 | ||||||||||||
Financials | 14,988,158 | 97,813,854 | – | 112,802,012 | ||||||||||||
Health Care | – | 24,652,830 | – | 24,652,830 | ||||||||||||
Industrials | – | 32,935,434 | – | 32,935,434 | ||||||||||||
Information Technology | 10,444,533 | 47,940,578 | – | 58,385,111 | ||||||||||||
Materials | – | 28,705,003 | – | 28,705,003 | ||||||||||||
Real Estate | – | 3,234,411 | – | 3,234,411 | ||||||||||||
Utilities | – | 4,108,777 | – | 4,108,777 | ||||||||||||
Total | $ | 31,124,806 | $ | 324,390,630 | $ | – | $ | 355,515,436 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Smith Short Duration Bond Fund | ||||||||||||||||
Collateralized Mortgage Obligations | $ | – | $ | 2,377,311 | $ | – | $ | 2,377,311 | ||||||||
Commercial Mortgage-Backed Securities | – | 1,179,930 | – | 1,179,930 | ||||||||||||
Mortgage-Backed Securities | – | 13,299,911 | – | 13,299,911 | ||||||||||||
Corporate Bonds | – | 392,328,547 | – | 392,328,547 | ||||||||||||
Government Bonds | – | 91,818,479 | – | 91,818,479 | ||||||||||||
Municipal Bonds | – | 151,577 | – | 151,577 | ||||||||||||
Short Term Investments | 3,988,837 | – | – | 3,988,837 | ||||||||||||
Total | $ | 3,988,837 | $ | 501,155,755 | $ | – | $ | 505,144,592 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Smith Total Return Bond Fund | ||||||||||||||||
Collateralized Mortgage Obligations | $ | – | $ | 134,048,468 | $ | – | $ | 134,048,468 | ||||||||
Commercial Mortgage-Backed Securities | – | 54,470,095 | – | 54,470,095 | ||||||||||||
Mortgage-Backed Securities | – | 99,405,192 | – | 99,405,192 | ||||||||||||
Corporate Bonds | – | 1,005,498,354 | – | 1,005,498,354 | ||||||||||||
Government Bonds | – | 450,511,938 | – | 450,511,938 | ||||||||||||
Preferred Stock | 20,700,596 | – | – | 20,700,596 | ||||||||||||
Short Term Investments | 7,649,659 | – | – | 7,649,659 | ||||||||||||
Total | $ | 28,350,255 | $ | 1,743,934,047 | $ | – | $ | 1,772,284,302 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Smith Credit Opportunities Fund | ||||||||||||||||
Common Stocks(a) | $ | 581,519 | $ | – | $ | – | $ | 581,519 | ||||||||
Exchange Traded Funds | 5,781,223 | – | – | 5,781,223 | ||||||||||||
Collateralized Mortgage Obligations | – | 773,611 | – | 773,611 | ||||||||||||
Corporate Bonds | – | 141,882,663 | – | 141,882,663 | ||||||||||||
Government Bonds | – | 13,114,412 | – | 13,114,412 | ||||||||||||
Preferred Stock | 4,482,510 | – | – | 4,482,510 | ||||||||||||
Short Term Investments | 1,285,178 | – | – | 1,285,178 | ||||||||||||
Total | $ | 12,130,430 | $ | 155,770,686 | $ | – | $ | 167,901,116 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Smith Balanced Opportunity Fund | ||||||||||||||||
Common Stocks(a) | $ | 23,529,652 | $ | – | $ | – | $ | 23,529,652 | ||||||||
Collateralized Mortgage Obligations | – | 1,606,075 | – | 1,606,075 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 37,096 | – | 37,096 | ||||||||||||
Mortgage-Backed Securities | – | 265,497 | – | 265,497 | ||||||||||||
Corporate Bonds | – | 5,232,358 | – | 5,232,358 | ||||||||||||
Government Bonds | – | 6,427,656 | – | 6,427,656 | ||||||||||||
Preferred Stock | 137,432 | – | – | 137,432 | ||||||||||||
Short Term Investments | 856,053 | – | – | 856,053 | ||||||||||||
Total | $ | 24,523,137 | $ | 13,568,682 | $ | – | $ | 38,091,819 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
ALPS | Red Rocks Global Opportunity Fund | ||||||||||||||||
Closed-End Funds | $ | 7,277,835 | $ | 13,575,283 | $ | – | $ | 20,853,118 | ||||||||
Common Stocks | ||||||||||||||||
Communications | 9,062,838 | – | – | 9,062,838 | ||||||||||||
Consumer, Cyclical | 2,676,807 | 3,130,730 | – | 5,807,537 | ||||||||||||
Consumer, Non-cyclical | 7,579,243 | – | – | 7,579,243 | ||||||||||||
Diversified | – | 973,611 | – | 973,611 | ||||||||||||
Financials | 29,221,539 | 24,559,638 | – | 53,781,177 | ||||||||||||
Industrials | 4,291,428 | – | – | 4,291,428 | ||||||||||||
Technology | 3,691,859 | – | – | 3,691,859 | ||||||||||||
Utilities | 1,644,032 | – | – | 1,644,032 | ||||||||||||
Short-Term Investments | 2,272,457 | – | – | 2,272,457 | ||||||||||||
Total | $ | 67,718,038 | $ | 42,239,262 | $ | – | $ | 109,957,300 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
Clough China Fund | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communications | $ | 1,682,161 | $ | 5,118,337 | $ | – | $ | 6,800,498 | ||||||||
Consumer Discretionary | 5,838,464 | 6,373,395 | – | 12,211,859 | ||||||||||||
Financials | – | 4,929,257 | – | 4,929,257 | ||||||||||||
Health Care | 647,524 | 1,857,988 | – | 2,505,512 | ||||||||||||
Industrials | 259,929 | 1,280,555 | – | 1,540,484 | ||||||||||||
Materials | – | 2,022,965 | – | 2,022,965 | ||||||||||||
Real Estate | – | 1,044,626 | – | 1,044,626 | ||||||||||||
Technology | 226,281 | 1,487,295 | – | 1,713,576 | ||||||||||||
Utilities | – | 801,535 | – | 801,535 | ||||||||||||
Short Term Investments | 5,500,068 | – | – | 5,500,068 | ||||||||||||
Total | $ | 14,154,427 | $ | 24,915,953 | $ | – | $ | 39,070,380 | ||||||||
Other Financial Instruments | ||||||||||||||||
Assets: | ||||||||||||||||
Total Return Swap Contracts | $ | – | $ | 772,616 | $ | – | $ | 772,616 | ||||||||
Liabilities: | ||||||||||||||||
Total Return Swap Contracts | – | (357,527) | – | (357,527) | ||||||||||||
Total | $ | – | $ | 415,089 | $ | – | $ | 415,089 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
RiverFront Asset Allocation Aggressive | ||||||||||||||||
Exchange Traded Funds | $ | 27,198,638 | $ | – | $ | – | $ | 27,198,638 | ||||||||
Short-Term Investments | 626,622 | – | – | 626,622 | ||||||||||||
Total | $ | 27,825,260 | $ | – | $ | – | $ | 27,825,260 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
RiverFront Asset Allocation Growth & Income | ||||||||||||||||
Exchange Traded Funds | $ | 62,843,048 | $ | – | $ | – | $ | 62,843,048 | ||||||||
Short-Term Investments | 1,374,317 | – | – | 1,374,317 | ||||||||||||
Total | $ | 64,217,365 | $ | – | $ | – | $ | 64,217,365 | ||||||||
Investments in Securities at Value | Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||
RiverFront Asset Allocation Moderate | ||||||||||||||||
Exchange Traded Funds | $ | 49,517,721 | $ | – | $ | – | $ | 49,517,721 | ||||||||
Short-Term Investments | 792,662 | – | – | 792,662 | ||||||||||||
Total | $ | 50,310,383 | $ | – | $ | – | $ | 50,310,383 | ||||||||
(a) | For detailed descriptions of country, sector and/or industry, see the accompanying Statement of Investments. |
Fund and Class Expenses: Some expenses of the Trust can be directly attributed to a Fund or a specific share class of a Fund. Expenses which cannot be directly attributed are apportioned among all Funds in the Trust based on average net assets of each share class within a Fund.
Federal Income Taxes: The Funds comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and intend to distribute substantially all of their net taxable income and net capital gains, if any, each year. The Funds are not subject to income taxes to the extent such distributions are made.
The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return, but may extend to four years in certain jurisdictions. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Distributions to Shareholders: Each Fund, except the RiverFront Asset Allocation Growth & Income, RiverFront Asset Allocation Moderate, ALPS | Smith Total Return Bond Fund and ALPS | Smith Short Duration Bond Fund, ALPS | Smith Balanced Opportunity Fund, and ALPS | Smith Credit Opportunities Fund normally pays dividends and distributes capital gains, if any, on an annual basis. RiverFront Asset Allocation Moderate normally pays dividends, if any, on a quarterly basis and distributes capital gains annually. ALPS | Smith Total Return Bond Fund and ALPS | Smith Short Duration Bond Fund, ALPS | Smith Balanced Opportunity Fund, and ALPS | Smith Credit Opportunities Fund declare and distribute dividends, if any, on a monthly basis and capital gains, if any, on at least an annual basis. Income dividend distributions are derived from interest and other income a Fund receives from its investments, including distributions of short-term capital gains. Capital gain distributions are derived from gains realized when a Fund sells a security it has owned for more than a year or from long-term capital gain distributions from underlying investments. Each Fund may make additional distributions and dividends at other times if its portfolio manager or managers believe doing so may be necessary for the Fund to avoid or reduce taxes.
Commodity-Linked Notes: The ALPS | CoreCommodity Management CompleteCommodities® Strategy Fund may invest in commodity-linked notes which are derivative instruments that have characteristics of a debt security and of a commodity-linked derivative. A commodity-linked note typically provides for interest payments and a principal payment at maturity linked to the price movement of the underlying commodity, commodity index or commodity futures or option contract. Commodity-linked notes may be principal protected, partially protected, or offer no principal protection. The value of these notes will rise and fall in response to changes in the underlying commodity or related index or investment. These notes are often leveraged, increasing the volatility of each note’s value relative to the change in the underlying linked index. Commodity index-linked investments may be more volatile and less liquid than the underlying index and their value may be affected by the performance of the commodities as well as other factors, including liquidity, quality, maturity and other economic variables. Commodity-linked notes are typically issued by a bank or other financial institution and are sometimes referred to as structured notes because the terms of the notes may be structured by the issuer and the purchaser of the notes to accommodate the specific investment requirements of the purchaser.
Exchange Traded Funds (ETFs): Each Fund may invest in shares of ETFs and other similar instruments if the investment manager chooses to adjust a Fund’s exposure to the general market or industry sectors and to manage a Fund’s risk exposure. ETFs differ from traditional index funds in that their shares are listed on a securities exchange and can be traded intraday. ETF shares are shares of exchange traded investment companies that are registered under the 1940 Act and hold a portfolio of common stocks designed to track the performance of a particular index. Limitations of the 1940 Act may prohibit a Fund from acquiring more than 3% of the outstanding shares of certain ETFs. Instruments that are similar to ETFs represent beneficial ownership interests in specific “baskets” of stocks of companies within a particular industry sector or group. These securities may also be exchange traded, but unlike ETFs, the issuers of these securities are not registered as investment companies.
The portfolio manager may decide to purchase or sell short ETF shares or options on ETF shares for the same reasons it would purchase or sell (and as an alternative to purchasing or selling) futures contracts - to obtain exposure to the stock market or a particular segment of the stock market, or to hedge a Fund’s portfolio against such exposures. Depending on the market, the holding period and other factors, the use of ETF shares and options thereon can be less costly than the use of index options or stock index futures. In addition, ETF shares and options thereon can typically be purchased in smaller amounts than are available for futures contracts and can offer exposure to market sectors and styles for which there is no suitable or liquid futures contract.
Investment Transactions and Investment Income: Investment transactions are accounted for on the date the investments are purchased or sold (trade date basis). Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is accrued and recorded as earned. Dividend income is recognized on the ex-dividend date or for certain foreign securities, as soon as information is available to each Fund.
Foreign Securities: Each Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible reevaluation of currencies, the inability to repatriate foreign currency, less complete financial information about companies and possible future adverse political and economic developments.
Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Investment valuations and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates. The portion of realized and unrealized gains or losses on investments due to fluctuations in foreign currency exchange rates is not separately disclosed and is included in realized and unrealized gains or losses on investments, when applicable.
Foreign Currency Spot Contracts: The Funds may enter into foreign currency spot contracts to facilitate transactions in foreign securities or to convert foreign currency receipts into U.S. dollars. A foreign currency spot contract is an agreement between two parties to buy and sell currencies at the current market rate, for settlement generally within two business days. The U.S. dollar value of the contracts is determined using current currency exchange rates supplied by a pricing service. The contract is marked-to-market daily for settlements beyond one day and any change in market value is recorded as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value on the open and close date. Losses may arise from changes in the value of the foreign currency, or if the counterparties do not perform under the contract’s terms. The maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened.
Real Estate Investment Trusts (“REITs”): The Funds may invest a portion of their assets in REITs and are subject to certain risks associated with direct investment in REITs. REITs may be affected by changes in the value of their underlying properties and by defaults by borrowers or tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareowners, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income under the Internal Revenue Code of 1986, as amended (the “Code”), or its failure to maintain exemption from registration under the 1940 Act. Distributions that the Fund receives from REITs can be classified as ordinary income, capital gain income or return of capital by the REITs that make these distributions to the Fund. However, it is not possible for the Fund to characterize distributions received from REITs during interim periods because the REIT issuers do not report their tax characterizations until subsequent to year end. During interim periods, the REIT distributions are accounted for as ordinary income until the re characterizations are made subsequent to year end.
Treasury Inflation Protected-Securities (“TIPS”): The Funds may invest in TIPS, including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on a Fund’s distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
Loan Participations and Assignments: Certain Funds may invest in loan participations and assignments. The Fund considers loan participations and assignments to be investments in debt securities. Loan participations typically will result in the Fund having a contractual relationship only with the lender, not with the borrower. The Fund will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the borrower. Under a loan participation, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. When the Fund purchases assignments of loans from lenders, the Fund will acquire direct rights against the borrower on the loan, except that under certain circumstances such rights may be more limited than those held by the assigning lender.
Master Limited Partnerships: Certain Funds may invest in MLPs, which are publicly traded partnerships engaged in the transportation, storage and processing of minerals and natural resources. By confining their operations to these specific activities, their interests, or units, are able to trade on public securities exchanges exactly like the shares of a corporation, without entity level taxation. To qualify as a MLP and to not be taxed as a corporation, a partnership must receive at least 90% of its income from qualifying sources as set forth in Section 7704(d) of the Code. These qualifying sources include natural resource based activities such as the processing, transportation and storage of mineral or natural resources. MLPs generally have two classes of owners, the general partner and limited partners. The general partner of an MLP is typically owned by a major energy company, an investment fund, the direct management of the MLP, or is an entity owned by one or more of such parties. The general partner may be structured as a private or publicly traded corporation or other entity. The general partner typically controls the operations and management of the MLP through an up to 2% equity interest in the MLP plus, in many cases, ownership of common units and subordinated units. Limited partners typically own the remainder of the partnership, through ownership of common units, and have a limited role in the partnership’s operations and management. MLPs are typically structured such that common units and general partner interests have first priority to receive quarterly cash distributions up to an established minimum amount (“minimum quarterly distributions” or “MQD”). Common and general partner interests also accrue arrearages in distributions to the extent the MQD is not paid. Once common and general partner interests have been paid, subordinated units receive distributions of up to the MQD; however, subordinated units do not accrue arrearages. Distributable cash in excess of the MQD is paid to both common and subordinated units and is distributed to both common and subordinated units generally on a pro rata basis. The general partner is also eligible to receive incentive distributions if the general partner operates the business in a manner which results in distributions paid per common unit surpassing specified target levels. As the general partner increases cash distributions to the limited partners, the general partner receives an increasingly higher percentage of the incremental cash distributions
COVID-19 Risks: A recent outbreak of respiratory disease caused by a novel coronavirus was first detected in China in December 2019 and has now been detected internationally. This coronavirus has resulted in closing borders, enhanced health screenings, healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies, their securities (including equity and debt), and the market in general in ways that cannot necessarily be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to less established health care systems. Health crises caused by the recent coronavirus outbreak may exacerbate other pre-existing political, social and economic risks in certain countries. The impact of the outbreak may be short term or may last for an extended period of time.
3. DERIVATIVE INSTRUMENTS
As a part of their investment strategy, the Funds are permitted to enter in various types of derivatives contracts. In doing so, the Funds employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent in derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.
Cash collateral is being pledged to cover derivative obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Statements of Investments.
Risk of Investing in Derivatives: The Funds’ use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Funds are using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds’ performance.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.
Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell or close out the derivative in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds. In addition, use of derivatives may increase or decrease exposure to the following risk factors:
Equity Risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.
Commodity Risk: Exposure to the commodities markets may subject the Funds to greater volatility than investments in traditional securities. Prices of various commodities may also be affected by factors, such as drought, floods, weather, livestock disease, embargoes, tariffs and other regulatory developments, which are unpredictable. The prices of commodities can also fluctuate widely due to supply and demand disruptions in major producing or consuming regions.
Foreign Currency Risk: Currency trading involves significant risks, including market risk, interest rate risk, country risk, counterparty credit risk and short sale risk. Market risk results from the price movement of foreign currency values in response to shifting market supply and demand. Interest rate risk arises whenever a country changes its stated interest rate target associated with its currency. Country risk arises because virtually every country has interfered with international transactions in its currency.
Interest Rate Risk: Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of fixed income securities held by the Funds are likely to decrease. Securities with longer durations tend to be more sensitive to changes in interest rates, and are usually more volatile than securities.
Swap Contracts: Each Fund may enter into swap transactions for hedging purposes or to seek to increase total return. At the present time, the CoreCommodity Fund and Clough China Fund primarily enter into swap transactions for the purpose of increasing total return. Swap agreements may be executed in a multilateral or other trade facility program, such as a registered exchange (“centrally cleared swaps”) or may be privately negotiated in the over-the counter market. The duration of a swap agreement typically ranges from a few weeks to more than one year. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net payment to be received by the Funds and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Although centrally cleared swaps typically present less counterparty risk than non-centrally cleared swaps, a Fund that has entered into centrally cleared swaps is subject to the risk of the failure of the CCP.
Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market risk, liquidity risk and elements of credit, legal and documentation risk that are not directly reflected in the amounts recognized in the Statements of Assets and Liabilities.
The Funds may pay or receive cash as collateral on these contracts which may be recorded as an asset and/or liability. The Funds must set aside liquid assets, or engage in other appropriate measures, to cover its obligations under these contracts. Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or model prices and the change in value, if any, is recorded as an unrealized gain or loss. Upfront payments made and/or received by the Funds are recorded as an asset and/or liability and realized gains or losses are recognized ratably over the contract’s term/event, with the exception of forward starting interest rate swaps, whose realized gains or losses are recognized ratably from the effective start date. Periodic payments received or made on swap contracts are recorded as realized gains or losses. Gains or losses are realized upon termination of a swap contract and are recorded on the Statement of Operations.
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Credit default swaps are a type of swap agreement in which the protection “buyer” is generally obligated to pay the protection “seller” an upfront and/ or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. Credit default swaps (“CDS”) are typically two-party financial contracts that transfer credit exposure between the two parties. Under a typical CDS, one party (the “seller”) receives pre-determined periodic payments from the other party (the “buyer”). The seller agrees to make compensating specific payments to the buyer if a negative credit event occurs, such as the bankruptcy or default by the issuer of the underlying debt instrument. Swap agreements held at July 31, 2021 are disclosed after the Statement of Investments.
Futures: Each Fund may invest in futures contracts in accordance with their investment objectives. Each Fund does so for a variety of reasons including for cash management, hedging or non-hedging purposes in an attempt to achieve the Fund’s investment objective. A futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. A futures contract on an index is an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Futures transactions may result in losses in excess of the amount invested in the futures contract. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities in a Fund and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when a Fund seeks to close out a futures contract or a futures option position. Lack of a liquid market for any reason may prevent a Fund from liquidating an unfavorable position, and the Fund would remain obligated to meet margin requirements until the position is closed. In addition, a Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of their contracts. With exchange traded futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
When a purchase or sale of a futures contract is made by a Fund, the Fund is required to deposit with its custodian (or broker, if legally permitted) a specified amount of liquid assets (“initial margin”). The margin required for a futures contract is set by the exchange on which the contract is traded and may be modified during the term of the contract. The initial margin is in the nature of a performance bond or good faith deposit on the futures contract that is returned to a Fund upon termination of the contract, assuming all contractual obligations have been satisfied. These amounts are included in Deposit with broker for futures contracts on the Statement of Assets and Liabilities. Each day a Fund may pay or receive cash, called “variation margin,” equal to the daily change in value of the futures contract. Such payments or receipts are recorded for financial statement purposes as unrealized gains or losses by a Fund. Variation margin does not represent a borrowing or loan by a Fund but is instead a settlement between a Fund and the broker of the amount one would owe the other if the futures contract expired. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Option Contracts: Each Fund may enter into options transactions for hedging purposes and for non-hedging purposes such as seeking to enhance return. Each Fund may write covered put and call options on any stocks or stock indices, currencies traded on domestic and foreign securities exchanges, or futures contracts on stock indices, interest rates and currencies traded on domestic and, to the extent permitted by the CFTC, foreign exchanges. A call option on an asset written by a Fund obligates the Fund to sell the specified asset to the holder (purchaser) at a stated price (the exercise price) if the option is exercised before a specified date (the expiration date). A put option on an asset written by a Fund obligates the Fund to buy the specified asset from the purchaser at the exercise price if the option is exercised before the expiration date. Premiums received when writing options are recorded as liabilities and are subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options, which are either exercised or closed, are offset against the proceeds received or amount paid on the transaction to determine realized gains or losses which are recorded on the Statement of Operations.
4. AFFILIATED COMPANIES
Funds may invest in certain securities that are considered securities issued by affiliated companies. As defined by the Investment Company Act of 1940, an affiliated person, including an affiliated company, is one in which a Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The purchases, sales, dividend income, realized gains or losses, change in unrealized gains or losses, shares and value of investments in affiliated companies for the period ended July 31, 2021 were as follows:
RiverFront Asset Allocation Aggressive
Security Name | Market Value as of October 31, 2020 | Purchases | Sales | Market Value as of July 31, 2021 | Share Balance as of July 31, 2021 | Dividends | Change in Unrealized Gain (Loss) | Realized Gain/(Loss) | ||||||||||||||||||||||||
First Trust RiverFront Dynamic Asia Pacific ETF | $ | 783,725 | $ | - | $ | (59,782 | ) | $ | 850,595 | 14,708 | $ | 13,250 | $ | 131,752 | $ | (5,100 | ) | |||||||||||||||
First Trust RiverFront Dynamic Developed International ETF | 3,394,461 | 360,575 | (316,443 | ) | 4,608,433 | 62,751 | 51,700 | 1,157,094 | 12,746 | |||||||||||||||||||||||
First Trust RiverFront Dynamic Emerging Markets ETF | 2,753,585 | - | (239,058 | ) | 2,959,353 | 41,599 | 32,138 | 417,539 | 27,287 | |||||||||||||||||||||||
First Trust RiverFront Dynamic Europe ETF | 1,451,594 | - | (140,819 | ) | 1,870,655 | 23,972 | 32,968 | 558,790 | 1,090 | |||||||||||||||||||||||
RiverFront Dynamic US Dividend Advantage ETF | 7,066,248 | - | (646,613 | ) | 8,622,213 | 194,100 | 98,893 | 2,101,439 | 101,139 | |||||||||||||||||||||||
RiverFront Dynamic US Flex-Cap ETF | 6,940,799 | - | (832,108 | ) | 8,287,389 | 182,122 | 62,966 | 2,050,468 | 128,230 | |||||||||||||||||||||||
$ | 22,390,412 | $ | 360,575 | $ | (2,234,823 | ) | $ | 27,198,638 | $ | 291,915 | $ | 6,417,082 | $ | 265,392 |
RiverFront Asset Allocation Growth & Income
Security Name | Market Value as of October 31, 2020 | Purchases | Sales | Market Value as of July 31, 2021 | Share Balance as of July 31, 2021 | Dividends | Change in Unrealized Gain (Loss) | Realized Gain/(Loss) | ||||||||||||||||||||||||
RiverFront Dynamic Core Income ETF | $ | 13,323,893 | $ | 876,919 | $ | (1,442,362 | ) | $ | 12,645,958 | 491,191 | $ | 167,830 | $ | (172,947 | ) | $ | 60,455 | |||||||||||||||
RiverFront Dynamic Unconstrained Income ETF | 1,120,785 | - | (129,183 | ) | 1,018,661 | 39,575 | 32,024 | 24,405 | 2,654 | |||||||||||||||||||||||
Riverfront Strategic Income Fund | 1,752,818 | - | (868,872 | ) | 898,614 | 36,147 | 25,695 | 6,261 | 8,407 | |||||||||||||||||||||||
First Trust RiverFront Dynamic Developed International ETF | 9,191,264 | 3,165,800 | (1,381,372 | ) | 14,405,917 | 196,159 | 159,353 | 3,354,305 | 75,920 | |||||||||||||||||||||||
First Trust RiverFront Dynamic Emerging Markets ETF | 5,062,398 | - | (683,293 | ) | 5,214,135 | 73,294 | 57,062 | 704,562 | 130,468 | |||||||||||||||||||||||
RiverFront Dynamic US Dividend Advantage ETF | 20,058,777 | - | (5,998,288 | ) | 19,741,225 | 444,407 | 250,841 | 4,685,535 | 995,201 | |||||||||||||||||||||||
RiverFront Dynamic US Flex-Cap ETF | 7,594,579 | - | (1,066,125 | ) | 8,918,538 | 195,992 | 67,652 | 2,203,290 | 186,794 | |||||||||||||||||||||||
$ | 58,104,514 | $ | 4,042,719 | $ | (11,569,495 | ) | $ | 62,843,048 | $ | 760,457 | $ | 10,805,411 | $ | 1,459,899 |
RiverFront Asset Allocation Moderate
Security Name | Market Value as of October 31, 2020 | Purchases | Sales | Market Value as of July 31, 2021 | Share Balance as of July 31, 2021 | Dividends | Change in Unrealized Gain (Loss) | Realized Gain/(Loss) | ||||||||||||||||||||||||
RiverFront Dynamic Core Income ETF | $ | 19,601,582 | $ | 1,637,282 | $ | (1,613,807 | ) | $ | 19,452,939 | 755,586 | $ | 256,175 | $ | (249,916 | ) | $ | 77,798 | |||||||||||||||
RiverFront Dynamic Unconstrained Income ETF | 858,377 | - | (68,429 | ) | 810,733 | 31,497 | 25,310 | 19,991 | 794 | |||||||||||||||||||||||
Riverfront Strategic Income Fund | 1,394,780 | - | (697,891 | ) | 708,137 | 28,485 | 20,780 | 4,851 | 6,397 | |||||||||||||||||||||||
First Trust RiverFront Dynamic Developed International ETF | 2,499,730 | 2,679,083 | (300,682 | ) | 6,067,246 | 82,615 | 63,866 | 1,175,336 | 13,779 | |||||||||||||||||||||||
RiverFront Dynamic US Dividend Advantage ETF | 16,246,515 | - | (3,880,995 | ) | 17,120,090 | 385,401 | 213,271 | 4,098,624 | 655,946 | |||||||||||||||||||||||
RiverFront Dynamic US Flex-Cap ETF | 5,163,846 | - | (1,331,574 | ) | 5,358,576 | 117,759 | 46,565 | 1,307,803 | 218,501 | |||||||||||||||||||||||
$ | 45,764,830 | $ | 4,316,365 | $ | (7,893,378 | ) | $ | 49,517,721 | $ | 625,967 | $ | 6,356,689 | $ | 973,215 |